Monte Carlo Approximations in Bayesian Decision Theory

DOI10.2307/2289654zbMath0676.62003OpenAlexW4253037801MaRDI QIDQ3831846

Jun Shao

Publication date: 1989

Full work available at URL: https://doi.org/10.2307/2289654

zbMATH Keywords

rates of convergencealmost sure convergenceMonte Carlo approximationaccuracy measuresposterior expected lossBayesian actionMonte Carlo integration method

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations ⋮ Nonlinear and nonnormal filters using Monte Carlo methods ⋮ On markov chain monte carlo methods for nonlinear and non-gaussian state-space models ⋮ Augmented probability simulation methods for sequential games ⋮ Nonlinear stochastic programming by Monte-Carlo estimators

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