Posterior asymptotics of nonparametric location-scale mixtures for multivariate density estimation (Q502874)

Density estimation represents one of the most successful applications of Bayesian nonparametrics. In particular, Dirichlet process (DP) mixtures of normals are the gold standard for density estimation and their asymptotic properties have been studied extensively, especially in the univariate case. However, a gap between practitioners and the current theoretical literature is present. So far, posterior asymptotic results in the multivariate case are available only for location mixtures of Gaussian kernels with independent prior on the common covariance matrix. In this paper, a posterior consistency for such general mixture models by adapting a convergence rate result which combines the usual low-entropy, high-mass sieve approach with a suitable summability condition is established. Specifically, a consistency for DP mixtures of Gaussian kernels with various prior specifications on the covariance matrix is established also. Posterior convergence rates are discussed as well. Asymptotic properties of DP location-scale mixtures of Gaussian kernels for multivariate density estimation are discussed. Sufficient conditions on the DP prior measure on the space of means and covariance matrices in order to achieve posterior consistency are given.