Probability Estimation with Truncated Inverse Binomial Sampling

Autor:	Chen, Xinjia
Rok vydání:	2019
Předmět:	Mathematics - Statistics Theory Electrical Engineering and Systems Science - Systems and Control Statistics - Machine Learning
Druh dokumentu:	Working Paper
Popis:	In this paper, we develop a general theory of truncated inverse binomial sampling. In this theory, the fixed-size sampling and inverse binomial sampling are accommodated as special cases. In particular, the classical Chernoff-Hoeffding bound is an immediate consequence of the theory. Moreover, we propose a rigorous and efficient method for probability estimation, which is an adaptive Monte Carlo estimation method based on truncated inverse binomial sampling. Our proposed method of probability estimation can be orders of magnitude more efficient as compared to existing methods in literature and widely used software. Comment: 14 pages, 1 figure
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1908.06907 Zobrazit plný text záznamu View this record from Arxiv