Faster estimates of the mean of bounded random variables

DOI10.1016/J.MATCOM.2019.01.011MaRDI QIDQ1997563zbMATH OpenOpenAlexFDO

Authors Bo Jones, Mark Huber

Publication date 2 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2019.01.011

zbMATH Keywords

adaptive Monte Carlorobust estimatesrandomized approximation scheme

Mathematics Subject Classification ID

Operations research and management science (90Bxx) Probabilistic methods, stochastic differential equations (65Cxx) Survival analysis and censored data (62Nxx)

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Cites work

• scientific article; zbMATH DE number 54039 (Why is no real title available?)
• scientific article; zbMATH DE number 3062496 (Why is no real title available?)
• A Bernoulli mean estimate with known relative error distribution
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• An Optimal Algorithm for Monte Carlo Estimation
• Approximating zero-variance importance sampling in a reliability setting
• Challenging the empirical mean and empirical variance: a deviation study
• High-confidence estimation of small \(s-t\) reliabilities in directed acyclic networks
• Monte Carlo with user-specified relative error
• Probability Inequalities for Sums of Bounded Random Variables
• Static network reliability estimation under the Marshall-Olkin copula

Cited in

(3)

• Sampling algorithms for estimating the mean of bounded random variables
• Recovery of Sobolev functions restricted to iid sampling
• An optimal (ϵ,δ)‐randomized approximation scheme for the mean of random variables with bounded relative variance

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