  The method proposed by Bernardo and Smith [2000] to approximate reference
priors by simulation was analyzed with the objective of improving the procedure
in order to obtain consistent estimators and to allow the estimation of
asymptotic probability intervals. In this sense, the variance of Bernardo's
estimator was derived and was used to construct probability intervals that
permitted the expression of the estimation error as a function of sample size.
Additionally a variance reduction technique (common random numbers) were
explored as a means to obtain more precise estimations with smaller sample
sizes. These technique was found to considerably reduce estimation error for
some of the examples explored. In other cases the use of the technique resulted
in zero estimation error given that the estimator does not depend on the
sample.
