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

By Kesar Singh, Min‐ge Xie, William E. Strawderman. 2007

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The notion of confidence distribution (CD), an entirely frequentist concept, is in essence a Neymanian interpretation of Fisher's Fiducial distri- bution. 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, com- parison 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.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/d5eb1c24529df55d5417ddae9ef7a2561b1a1196