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

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

2007-08-07

arxiv.org/abs/0708.0976v1

IMS Lecture Notes Monograph Series 2007, Vol. 54, 132-150

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921707000000102 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/p

Scientific paper

10.1214/074921707000000102

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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