Optimal Stopping for Interval Estimation in Bernoulli Trials

DOI10.1109/TIT.2018.2885405zbMATH Open1432.62276arXiv1711.06912OpenAlexW2964138877WikidataQ128830169 ScholiaQ128830169MaRDI QIDQ5223984FDOQ5223984

Authors: Tony Yaacoub, Yajun Mei, George V. Moustakides 

Publication date: 19 July 2019

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: We propose an optimal sequential methodology for obtaining confidence intervals for a binomial proportion $heta$. Assuming that an i.i.d. random sequence of Benoulli($heta$) trials is observed sequentially, we are interested in designing a)~a stopping time $T$ that will decide when is the best time to stop sampling the process, and b)~an optimum estimator $hat{heta}_T$ that will provide the optimum center of the interval estimate of $heta$. We follow a semi-Bayesian approach, where we assume that there exists a prior distribution for $heta$, and our goal is to minimize the average number of samples while we guarantee a minimal coverage probability level. The solution is obtained by applying standard optimal stopping theory and computing the optimum pair $(T,hat{heta}_T)$ numerically. Regarding the optimum stopping time component $T$, we demonstrate that it enjoys certain very uncommon characteristics not encountered in solutions of other classical optimal stopping problems. Finally, we compare our method with the optimum fixed-sample-size procedure but also with existing alternative sequential schemes.

Full work available at URL: https://arxiv.org/abs/1711.06912

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Cited In (3)

• Deciding when to quit the gambler's ruin game with unknown probabilities
• Selecting Stopping Rules for Confidence Interval Procedures
• Tandem-width sequential confidence intervals for a Bernoulli proportion

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