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

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Article , Preprint , Other literature type 01 Jan 2007Embargo end date: 01 Jan 2007 English Publisher:Institute of Mathematical StatisticsFunded by:NSF | New Developments in Longi..., NSF | Unified Robust Multivaria...

Authors: Singh, Kesar; Xie, Minge; Strawderman, William E.;

doi: 10.1214/074921707000000102 , 10.48550/arxiv.0708.0976

arXiv: http://arxiv.org/abs/0708.0976

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

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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.

Published at http://dx.doi.org/10.1214/074921707000000102 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)

Related Organizations

Rutgers, The State University of New Jersey
United States
Rutgers University New Brunswick
United States

Keywords

fiducial inference, confidence distribution, Mathematics - Statistics Theory, Statistics Theory (math.ST), data-depth, optimality, p-value functio, FOS: Mathematics, frequentist inference, 62G05, 62F03, 62F03, 62F12, 62G05 (Primary) 62G10, 62G20 (Secondary), likelihood function, bootstrap, 62F12, 62G20, 62G10

Impact byBIP!

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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average