Confidence distribution (CD) -- distribution estimator of a parameter

DOI10.1214/074921707000000102MaRDI QIDQ6206429zbMATH OpenFDO

Authors Kesar Singh, Minge Xie, William E. Strawderman

Publication date 7 August 2007

Full work available at URL https://doi.org/10.1214/074921707000000102

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

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.

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