Conditional inferential models: combining information for prior-free probabilistic inference

DOI10.1111/RSSB.12070MaRDI QIDQ5379906zbMATH OpenOpenAlexFDO

Authors Ryan Martin, Chuanhai Liu

Publication date 14 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.1530

zbMATH Keywords

differential equationBayessufficiencyauxiliary variablebelief functionpredictive random set

Mathematics Subject Classification ID

Bayesian inference (62F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Foundations and philosophical topics in statistics (62A01)

Abstract: The inferential model (IM) framework provides valid prior-free probabilistic inference by focusing on predicting unobserved auxiliary variables. But, efficient IM-based inference can be challenging when the auxiliary variable is of higher dimension than the parameter. Here we show that features of the auxiliary variable are often fully observed and, in such cases, a simultaneous dimension reduction and information aggregation can be achieved by conditioning. This proposed conditioning strategy leads to efficient IM inference, and casts new light on Fisher's notions of sufficiency, conditioning, and also Bayesian inference. A differential equation-driven selection of a conditional association is developed, and validity of the conditional IM is proved under some conditions. For problems that do not admit a valid conditional IM of the standard form, we propose a more flexible class of conditional IMs based on localization. Examples of local conditional IMs in a bivariate normal model and a normal variance components model are also given.

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