Asymptotic Behavior of the Bayes Estimator of a Regression Curve

In this work, we prove the convergence to 0 in both L 1 and L 2 of the Bayes estimator of a regression curve (i.e., the conditional expectation of the response variable given the regressor). The strong consistency of the estimator is also derived. The Bayes estimator of a regression curve is the regression curve with respect to the posterior predictive distribution. The result is general enough to cover discrete and continuous cases, parametric or nonparametric, and no specific supposition is made about the prior distribution. Some examples, two of them of a nonparametric nature, are given to illustrate the main result; one of the nonparametric examples exhibits a situation where the estimation of the regression curve has an optimal solution, although the problem of estimating the density is meaningless. An important role in the demonstration of these results is the establishment of a probability space as an adequate framework to address the problem of estimating regression curves from the Bayesian point of view, putting at our disposal powerful probabilistic tools in that endeavor.