Inverse sampling for nonasymptotic sequential estimation of bounded variable means

DOI10.1080/07474946.2013.843323MaRDI QIDQ2941681zbMATH OpenOpenAlexFDO

Authors Xin-Jia Chen

Publication date 24 August 2015

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.2801

zbMATH Keywords

bounded variableinverse samplingMonte Carlo estimationnonasymptotic methodsequential estimationuncertainty

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Sequential estimation (62L12)

Abstract: In this paper, we consider the nonasymptotic sequential estimation of means of random variables bounded in between zero and one. We have rigorously demonstrated that, in order to guarantee prescribed relative precision and confidence level, it suffices to continue sampling until the sample sum is no less than a certain bound and then take the average of samples as an estimate for the mean of the bounded random variable. We have developed an explicit formula and a bisection search method for the determination of such bound of sample sum, without any knowledge of the bounded variable. Moreover, we have derived bounds for the distribution of sample size. In the special case of Bernoulli random variables, we have established analytical and numerical methods to further reduce the bound of sample sum and thus improve the efficiency of sampling. Furthermore, the fallacy of existing results are detected and analyzed.

Recommendations

• Sampling algorithms for estimating the mean of bounded random variables
• scientific article; zbMATH DE number 3843026
• Rigorous error control methods for estimating means of bounded random variables
• A theory of truncated inverse sampling
• scientific article; zbMATH DE number 3990692

Cites work

• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• A Monte-Carlo Algorithm for Estimating the Permanent
• An Extension of a Theorem of Chow and Robbins on Sequential Confidence Intervals for the Mean
• An Optimal Algorithm for Monte Carlo Estimation
• An optimal approximation algorithm for Bayesian inference
• Exact computation of minimum sample size for estimation of binomial parameters
• scientific article; zbMATH DE number 3045589 (Why is no real title available?)
• Is statistics too difficult?
• Monte-Carlo approximation algorithms for enumeration problems
• ON A METHOD OF ESTIMATING FREQUENCIES
• Polynomial-Time Approximation Algorithms for the Ising Model
• Probability and Computing
• Randomized algorithms for analysis and control of uncertain systems. With applications
• Sampling algorithms for estimating the mean of bounded random variables
• Unbiased Sequential Estimation for Binomial Populations

Cited in

(4)

• A variance bound for unbiased estimation in inverse sampling without replacement
• Inverse sampling for multivariate ninparametric two-sample problems
• A theory of truncated inverse sampling
• Rigorous error control methods for estimating means of bounded random variables

This page was built for publication: Inverse sampling for nonasymptotic sequential estimation of bounded variable means

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2941681)