Institute of Mathematical Statistics Lecture Notes - Monograph Series

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

Kesar Singh, Minge Xie, and William E. Strawderman

Full-text: Open access

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.

Chapter information

Source
Regina Liu, William Strawderman and Cun-Hui Zhang, eds., Complex Datasets and Inverse Problems: Tomography, Networks and Beyond (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2007), 132-150

Dates
First available in Project Euclid: 4 December 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196794948

Digital Object Identifier
doi:10.1214/074921707000000102

Mathematical Reviews number (MathSciNet)
MR2459184

Subjects
Primary: 62F03: Hypothesis testing 62F12: Asymptotic properties of estimators 62G05: Estimation
Secondary: 62G10: Hypothesis testing 62G20: Asymptotic properties

Keywords
confidence distribution frequentist inference fiducial inference optimality bootstrap data-depth likelihood function p-value functio

Rights
Copyright © 2007, Institute of Mathematical Statistics

Citation

Singh, Kesar; Xie, Minge; Strawderman, William E. Confidence distribution (CD) -- distribution estimator of a parameter. Complex Datasets and Inverse Problems, 132--150, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2007. doi:10.1214/074921707000000102. https://projecteuclid.org/euclid.lnms/1196794948


Export citation