Improved Sequential Stopping Rule for Monte Carlo Simulation

Mendo Tomás, Luis and Hernando Rábanos, José María (2008). Improved Sequential Stopping Rule for Monte Carlo Simulation. pp. 1761-1764. ISSN 0090-6778. https://doi.org/10.1109/TCOMM.2008.070015.

Description

Title: Improved Sequential Stopping Rule for Monte Carlo Simulation
Author/s:
  • Mendo Tomás, Luis
  • Hernando Rábanos, José María
Item Type: Article
Date: November 2008
ISBN: 0090-6778
ISSN: 0090-6778
Volume: 56
Subjects:
Freetext Keywords: Simulation, Monte Carlo methods, sequential stopping rule
Faculty: E.T.S.I. Telecomunicación (UPM)
Department: Señales, Sistemas y Radiocomunicaciones
Creative Commons Licenses: None

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Abstract

This letter presents an improved result on the negative-binomial Monte Carlo technique analyzed in a previous paper (L. Mendo and J. M. Hernando, ``A simple sequential stopping rule for Monte Carlo simulation,'' IEEE Trans. Commun., vol. 54, no. 2, pp. 231-241, Feb. 2006) for the estimation of an unknown probability p. Specifically, the confidence level associated to a relative interval [p/mu_2,\, pmu_1], with mu_1, mu_2>1, is proved to exceed its asymptotic value for a broader range of intervals than that given in the referred paper, and for any value of p. This extends the applicability of the estimator, relaxing the conditions that guarantee a given confidence level.

More information

Item ID: 4350
DC Identifier: http://oa.upm.es/4350/
OAI Identifier: oai:oa.upm.es:4350
DOI: 10.1109/TCOMM.2008.070015
Deposited by: Dr. Luis Mendo
Deposited on: 23 Sep 2010 14:41
Last Modified: 20 Apr 2016 13:37
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