Monte Carlo Estimation for Imprecise Probabilities: Basic Properties
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Publication:6319192
arXiv1905.09301MaRDI QIDQ6319192FDOQ6319192
Authors: Arne Decadt, Gert De Cooman, Jasper De Bock 
Publication date: 22 May 2019
Abstract: We describe Monte Carlo methods for estimating lower envelopes of expectations of real random variables. We prove that the estimation bias is negative and that its absolute value shrinks with increasing sample size. We discuss fairly practical techniques for proving strong consistency of the estimators and use these to prove the consistency of an example in the literature. We also provide an example where there is no consistency.
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