On Consistency of the Bayes Estimator of the Density

Agustín G. Nogales
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Agustín G. Nogales: Departamento de Matemáticas, IMUEx, Universidad de Extremadura, 06006 Badajoz, Spain

Mathematics, 2022, vol. 10, issue 4, 1-6

Abstract: Under mild conditions, strong consistency of the Bayes estimator of the density is proved. Moreover, the Bayes risk (for some common loss functions) of the Bayes estimator of the density (i.e., the posterior predictive density) goes to zero as the sample size goes to ∞. In passing, a similar result is obtained for the estimation of the sampling distribution.

Keywords: Bayesian density estimation; Bayesian estimation of the sampling distribution; posterior predictive distribution; consistency of the Bayes estimator (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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