This work presents a new method for unbiased estimation of the probability f(x) using debiasing techniques, suggesting a consistent approach with independent random variables.
Given a known function f : [0, 1] ↦ (0, 1) and a random but almost surely finite number of independent, Ber$(x)$-distributed random variables with unknown x ∈ [0, 1], we construct an unbiased, $[0, 1]$-valued estimator of the probability f(x) ∈ (0, 1). Our estimator is based on so-called debiasing, or randomly truncating a telescopic series of consistent estimators. Constructing these consistent estimators from the coefficients of a particular Bernoulli factory for f yields provable upper and lower bounds for our unbiased estimator. Our result can be thought of as a novel Bernoulli factory with the appealing property that the required number of Ber$(x)$-distributed random variates is independent of their outcomes, and also as constructive example of the so-called f-factory.
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Koskela et al. (2025) studied this question.
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