Conditional fiducial models

DOI10.1016/J.JSPI.2017.09.007zbMATH Open1383.62066arXiv1711.00912OpenAlexW2765922937MaRDI QIDQ1699002FDOQ1699002

Authors: Gunnar Taraldsen, Bo Henry Lindqvist 

Publication date: 16 February 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: The fiducial is not unique in general, but we prove that in a restricted class of models it is uniquely determined by the sampling distribution of the data. It depends in particular not on the choice of a data generating model. The arguments lead to a generalization of the classical formula found by Fisher (1930). The restricted class includes cases with discrete distributions, the case of the shape parameter in the Gamma distribution, and also the case of the correlation coefficient in a bivariate Gaussian model. One of the examples can also be used in a pedagogical context to demonstrate possible difficulties with likelihood-, Bayesian-, and bootstrap-inference. Examples that demonstrate non-uniqueness are also presented. It is explained that they can be seen as cases with restrictions on the parameter space. Motivated by this the concept of a conditional fiducial model is introduced. This class of models includes the common case of iid samples from a one-parameter model investigated by Hannig (2013), the structural group models investigated by Fraser (1968), and also certain models discussed by Fisher (1973) in his final writing on the subject.

Full work available at URL: https://arxiv.org/abs/1711.00912

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zbMATH Keywords

confidence intervalsfiducial inferencelikelihood inference

Mathematics Subject Classification ID

Bayesian inference (62F15) Foundations and philosophical topics in statistics (62A01) Parametric tolerance and confidence regions (62F25) General considerations in statistical decision theory (62C05)

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Cited In (8)

• Fiducial, confidence and objective Bayesian posterior distributions for a multidimensional parameter
• Confidence distributions and empirical Bayes posterior distributions unified as distributions of evidential support
• The Conditional Moment Closure Model
• Fiducial and posterior sampling
• Bayesian and frequentist inference derived from the maximum entropy principle with applications to propagating uncertainty about statistical methods
• Confidence distributions and related themes
• Fiducialize statistical significance: transformingp-values into conservative posterior probabilities and Bayes factors
• The confidence density for correlation

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