A debiased Bernoulli factory and unbiased estimation of a probability

Abstract

Given a known function $f : [0, 1] \to (0, 1)$ and a random but almost surely finite number of independent, Ber$(x)$-distributed random variables with unknown $x \in [0, 1]$, we prove the existence of an unbiased, $[0, 1]$-valued estimator of the probability $f(x) \in (0, 1)$. Our estimator is based on so-called debiasing, or randomly truncating a telescopic series of consistent estimators. Debiased estimators of a probability are not typically constrained to $[0, 1]$, or even bounded, even when all consistent estimators used as inputs are. We show that constructing the series of consistent estimators from the coefficients of a particular Bernoulli factory yields provable boundedness provided $f \in C^{\rho}[0, 1]$ for $\rho > 3$. Our result can be thought of as a novel Bernoulli factory with the appealing property that the required number of Ber$(x)$-distributed random variates is independent of their outcomes.