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Suppose we have an experiment which results in "success" with probability $p$ and in "failure" with probability $1-p$. The distribution of corresponding random value is assumed to be Bernoulli.

It turns out that after a hundred experiments there were no "successes". How can one assess $p$ with some confidence level (for example, $0.95$)?

My attempt. The probability that after a hundred experiments there will be no "successes" is $\left(1-p\right)^{100}$. So one can compare this probability with the given confidence level. That means that $$(1-p)^{100}\geq0.95$$ That gives us that $$0\leq p\leq 1-\sqrt[100]{0.95}\approx0.0005128$$ Is that approach correct? If no, how can one tackle that problem?

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I don't think so. If you're trying to establish the range of $p$ over which the given result is not significant at the $0.05$ level, then you want

$$ (1-p)^{100} \geq 0.05 $$

and then $0 \leq p \leq 0.0295$ approximately. What you have there instead finds the range of $p$ over which the probability of obtaining a result that extreme is at least $0.95$, which I don't think is what you meant.

Alternatively, one can take a Bayesian approach, and use some appropriate prior (Beta distribution with $\alpha = \beta = 1$, which is uniform, will work), and update it according to the $100$ consecutive failures. The result (if you start with a uniform prior) is a Beta distribution with $\alpha = 1, \beta = 101$, whose PDF looks like this:

enter image description here

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  • $\begingroup$ I would argue that you should use $(1-p)^{100} \geq 0.025$ if you want to use a "two-sided" 95% interval where each tail contains a maximum mass of 0.025. This gives $[0, 0.0362167]$ as the confidence interval. $\endgroup$ – PhiNotPi Apr 23 at 17:50
  • $\begingroup$ @PhiNotPi: That would depend on the circumstances, but sure, I could see situations where that'd be what you want. $\endgroup$ – Brian Tung Apr 23 at 18:38

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