English

Large-sample theory for inferential models: a possibilistic Bernstein--von Mises theorem

Statistics Theory 2024-12-10 v1 Methodology Statistics Theory

Abstract

The inferential model (IM) framework offers alternatives to the familiar probabilistic (e.g., Bayesian and fiducial) uncertainty quantification in statistical inference. Allowing this uncertainty quantification to be imprecise makes it possible to achieve exact validity and reliability. But is imprecision and exact validity compatible with attainment of the classical notions of statistical efficiency? The present paper offers an affirmative answer to this question via a new possibilistic Bernstein--von Mises theorem that parallels a fundamental result in Bayesian inference. Among other things, our result demonstrates that the IM solution is asymptotically efficient in the sense that its asymptotic credal set is the smallest that contains the Gaussian distribution whose variance agrees with the Cramer--Rao lower bound.

Keywords

Cite

@article{arxiv.2404.15843,
  title  = {Large-sample theory for inferential models: a possibilistic Bernstein--von Mises theorem},
  author = {Ryan Martin and Jonathan P. Williams},
  journal= {arXiv preprint arXiv:2404.15843},
  year   = {2024}
}

Comments

8-page conference paper. Comments welcome at https://researchers.one/articles/24.04.00003

R2 v1 2026-06-28T16:05:01.814Z