ISSN:
1572-9338
Keywords:
Bayesian decisions
;
epi-convergence
;
integral functionals
;
Monte Carlo importance sampling
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract Solving Bayesian decision problems usually requires approximation procedures, all leading to study the convergence of the approximating infima. This aspect is analysed in the context of epigraphical convergence of integral functionals, as minimal context for convergence of infima. The results, applied to the Monte Carlo importance sampling, give a necessary and sufficient condition for convergence of the approximations of Bayes decision problems and sufficient conditions for a large class of Bayesian statistical decision problems.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02031697
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