Confidence distribution (CD) -- distribution estimator of a parameter
Preprint
- 7 August 2007
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.Keywords
All Related Versions
- Version 1, 2007-08-07, ArXiv
- Published version: , 132.