Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes

DOI10.1016/J.SPL.2019.06.009MaRDI QIDQ2322684zbMATH OpenOpenAlexWikidataFDO

Authors Wojciech Niemiro

Publication date 5 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.06.009

zbMATH Keywords

\(\varepsilon\)-\(\alpha\)-approximationconfidence estimationLévy processesrelative errorsequential estimationworst case efficiency

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Jump processes on general state spaces (60J76) Sequential estimation (62L12)

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Cites work

• An Optimal Algorithm for Monte Carlo Estimation
• Optimal Monte Carlo integration with fixed relative precision
• Probability Inequalities for Sums of Bounded Random Variables
• Probability Inequalities for the Sum of Independent Random Variables
• Ruin probabilities

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