Simulating events of unknown probabilities via reverse time martingales
Simulating events of unknown probabilities via reverse time martingales
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DOI：
10.1002/rsa.20333
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发表时间：
2009-07
影响因子：
1
通讯作者：
Krzysztof Latuszynski;I. Kosmidis;O. Papaspiliopoulos;G. Roberts
中科院分区：
文献类型：
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作者：
Krzysztof Latuszynski;I. Kosmidis;O. Papaspiliopoulos;G. Roberts
令S∈（0,1）是唯一的，但是只能通过有限的计算工作来获得近似值。首先，非线性差异的确切模拟（[3]）。 P -Coin（具有已知F和未知P）。 。
Let s∈(0,1) be uniquely determined but only its approximations can be obtained with a finite computational effort. Assume one aims to simulate an event of probability s. Such settings are often encountered in statistical simulations. We consider two specific examples. First, the exact simulation of non‐linear diffusions ([ 3 ]). Second, the celebrated Bernoulli factory problem ([ 10 , 13 ]) of generating an f(p)‐coin given a sequence X1,X2,… of independent tosses of a p‐coin (with known f and unknown p). We describe a general framework and provide algorithms where this kind of problems can be fitted and solved. The algorithms are straightforward to implement and thus allow for effective simulation of desired events of probability s. Our methodology links the simulation problem to existence and construction of unbiased estimators. © 2011 Wiley Periodicals, Inc. Random Struct. Alg., 38, 441–452, 2011