On Bayesian estimation of densities and sampling distributions: The posterior predictive distribution as the Bayes estimator

DOI10.1111/STAN.12258MaRDI QIDQ6089378zbMATH OpenOpenAlexFDO

Authors Agustín G. Nogales

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.00683

zbMATH Keywords

Bayesian density estimationposterior predictive distributionBayesian estimation of the sampling distribution

Mathematics Subject Classification ID

Statistics (62-XX) Parametric inference (62Fxx) Statistical decision theory (62Cxx)

Abstract: Optimality results for two outstanding Bayesian estimation problems are given in this paper: the estimation of the sampling distribution for the squared total variation function and the estimation of the density for the $L^1$-squared loss function. The posterior predictive distribution provides the solution to these problems. Some examples are presented to illustrate it. The Bayesian estimation problem of a distribution function is also addressed. Consistency of the estimator of the density is proved.

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Cited in

(4)

• On a Posterior Predictive Density Sample Size Criterion
• Asymptotic properties of Bayesian predictive densities when the distributions of data and target variables are different
• Estimation of posterior density functions from a posterior sample.
• Observations on the effect of the prior distribution on the predictive distribution in Bayesian inferences

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