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arXiv · 0708.0976

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

Kesar Singh·Minge Xie·William E. Strawderman
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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.

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Kesar Singh, Minge Xie, William E. Strawderman. 2007-08-07. Confidence distribution (CD) -- distribution estimator of a parameter. https://doi.org/10.1214/074921707000000102

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