Improved Sequential Stopping Rule for Monte Carlo Simulation

Abstract

This letter presents an improved result on the negative-binomial Monte Carlo technique analyzed in a previous paper1 for the estimation of an unknown probability p. Specifically, the confidence level associated to a relative interval [p/μ2, pμ1], with μ1, μ2 > 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.