Confidence distribution (CD) -- distribution estimator of a parameter
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Publication:6206429
DOI10.1214/074921707000000102arXiv0708.0976MaRDI QIDQ6206429FDOQ6206429
Authors: Kesar Singh, Minge Xie, William E. Strawderman 
Publication date: 7 August 2007
Abstract: The notion of confidence distribution (CD), an entirely frequentist concept, is in essence a Neymanian interpretation of Fisher's Fiducial distribution. It contains information related to every kind of frequentist inference. In this article, a CD is viewed as a distribution estimator of a parameter. This leads naturally to consideration of the information contained in CD, comparison of CDs and optimal CDs, and connection of the CD concept to the (profile) likelihood function. A formal development of a multiparameter CD is also presented.
Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)
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