Mendo Tomás, Luis and Hernando Rábanos, José María (2006) A Simple Sequential Stopping Rule for Monte Carlo Simulation. IEEE Transactions on Communications, 54 (2). pp. 231-241. ISSN 0090-6778
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| Item Type: | Article | ||||||
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| Authors/Creators: |
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| Title: | A Simple Sequential Stopping Rule for Monte Carlo Simulation | ||||||
| Journal/Publication Title: | IEEE Transactions on Communications | ||||||
| Date: | February 2006 | ||||||
| Volume: | 54 | ||||||
| Number: | 2 | ||||||
| Department: | Signals, Systems and Radiocommunications | ||||||
| Faculty: | E.T.S.I. Telecommunication (UPM) | ||||||
| Creative Commons licenses: | None | ||||||
| Item ID: | 4349 | ||||||
| Subjects: | Telecommunications Mathematics |
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Abstract
In this paper, a sequential stopping rule for the estimation of a probability p by means of Monte Carlo simulation is analyzed. It is shown that the proposed estimator is almost unbiased, and guarantees a given relative precision irrespective of p. Under very mild conditions, the method also guarantees a certain confidence level for a given relative estimation error, provided that p does not exceed a maximum value. An extension to importance sampling is discussed.
| Item Type: | Article |
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| Uncontrolled Keywords: | Simulation, Monte Carlo methods, sequential stopping rule, importance sampling |
| Subjects: | Telecommunications Mathematics |
| Código ID: | 4349 |
| Depositado Por: | Dr. Luis Mendo |
| Depositado el: | 23 Sep 2010 11:51 |
| Last Modified: | 23 Sep 2010 11:51 |
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