Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes

DOI10.1016/J.SPL.2019.06.009zbMath1458.60094OpenAlexW2955628443WikidataQ108529757 ScholiaQ108529757MaRDI QIDQ2322684

Wojciech Niemiro

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.06.009

zbMATH Keywords

Lévy processesrelative errorsequential estimationconfidence estimation\(\varepsilon\)-\(\alpha\)-approximationworst case efficiency

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sequential estimation (62L12) Jump processes on general state spaces (60J76)

Cites Work

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• Optimal Monte Carlo integration with fixed relative precision
• Probability Inequalities for the Sum of Independent Random Variables
• An Optimal Algorithm for Monte Carlo Estimation
• Probability Inequalities for Sums of Bounded Random Variables

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