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

Mendo Tomás, Luis and Hernando Rábanos, José María (2010). Estimation of a probability with optimum guaranteed confidence in inverse binomial sampling. "Bernoulli Journal", v. 16 (n. 2); pp. 493-513. ISSN 1350-7265. https://doi.org/10.3150/09-BEJ219.

Description

Title: Estimation of a probability with optimum guaranteed confidence in inverse binomial sampling
Author/s:
  • Mendo Tomás, Luis
  • Hernando Rábanos, José María
Item Type: Article
Título de Revista/Publicación: Bernoulli Journal
Date: May 2010
ISSN: 1350-7265
Volume: 16
Subjects:
Freetext Keywords: Confidence level; interval estimation; inverse binomial sampling; sequential estimation.
Faculty: E.T.S.I. Telecomunicación (UPM)
Department: Señales, Sistemas y Radiocomunicaciones
Creative Commons Licenses: None

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Abstract

Sequential estimation of a probability p by means of inverse binomial sampling is considered. For mu_1, mu_2 > 1 given, the accuracy of an estimator p^ is measured by the confidence level Pr[p/mu_2 <= p^ <= p mu_1]. The confidence levels c_0 that can be guaranteed for p unknown, i.e. such that Pr[p/mu_2 <= p^ <= p mu_1] >= c_0 for all p in (0,1), are investigated. It is shown that, within the general class of randomized or nonrandomized estimators based on inverse binomial sampling, there is a maximum c_0 that can be guaranteed for p arbitrary. A nonrandomized estimator is given that achieves this maximum guaranteed confidence under mild conditions on mu_1, mu_2.

More information

Item ID: 3133
DC Identifier: http://oa.upm.es/3133/
OAI Identifier: oai:oa.upm.es:3133
DOI: 10.3150/09-BEJ219
Official URL: http://isi.cbs.nl/bernoulli/
Deposited by: Dr. Luis Mendo
Deposited on: 27 May 2010 10:07
Last Modified: 20 Apr 2016 12:41
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