Tight relative estimation in the mean of Bernoulli random variables

10/23/2022

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by   Mark Huber, et al.

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Given a stream of Bernoulli random variables, consider the problem of estimating the mean of the random variable within a specified relative error with a specified probability of failure. Until now, the Gamma Bernoulli Approximation Scheme (GBAS) was the method that accomplished this goal using the smallest number of average samples. In this work, a new method is introduced that is faster when the mean is bounded away from zero. The process uses a two-stage process together with some simple inequalities to get rigorous bounds on the error probability.