Estimation of a probability with optimum guaranteed confidence in inverse binomial sampling

DOI10.3150/09-BEJ219MaRDI QIDQ453274zbMATH OpenOpenAlexFDO

Authors José M. Hernando, Luis Mendo

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0809.2402, https://projecteuclid.org/euclid.bj/1274821081

zbMATH Keywords

confidence levelinterval estimationinverse binomial samplingsequential estimation

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Parametric tolerance and confidence regions (62F25) Sequential estimation (62L12)

Abstract: Sequential estimation of a probability $p$ by means of inverse binomial sampling is considered. For $m{u}_1,m{u}_2>1$ given, the accuracy of an estimator $hatp$ is measured by the confidence level $P[p/m{u}_{2}leqhatpleqpm{u}_1]$. The confidence levels $c_0$ that can be guaranteed for $p$ unknown, that is, such that $P[p/m{u}_{2}leqhatpleqpm{u}_1]geq{c}_0$ for all $pin(0,1)$, are investigated. It is shown that within the general class of randomized or non-randomized estimators based on inverse binomial sampling, there is a maximum $c_0$ that can be guaranteed for arbitrary $p$. A non-randomized estimator is given that achieves this maximum guaranteed confidence under mild conditions on $m{u}_1$, $m{u}_2$.

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Cites work

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(8)

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• Test of Bernoulli success probability in inverse sampling for nearer alternatives using adaptive allocation
• Asymptotically optimum estimation of a probability in inverse binomial sampling under general loss functions
• A theory of truncated inverse sampling
• Reproducing kernel Hilbert spaces generated by the binomial coefficients
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