Confidence distribution (CD) -- distribution estimator of a parameter
Kesar Singh, Minge Xie, William E. Strawderman
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.
Full-text: Open access
Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196794948
Digital Object Identifier: doi:10.1214/074921707000000102
Institute of Mathematical Statistics Lecture Notes - Monograph Series