On Computing Bayes Risks
Stanley H. Shapiro · Journal of the American Statistical Association · 1973
Given the usual Bayesian scenario for the estimation problem, with quadratic loss function and the assumption of finite posterior risk, it is shown that the Bayes risk of a rule, δ, can be calculated in the following manner: The result is computationally expedient when the investigation of the behavior of a class of rules requires the use of a computer.