On Consistency of the Bayes Estimator of the Density
Agustín García Nogales · Mathematics · 2022
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.