Some Asymptotic Results for Fiducial and Confidence Distributions
Statistics Theory
2017-10-18 v2 Statistics Theory
Abstract
Under standard regularity assumptions, we provide simple approximations for specific classes of fiducial and confidence distributions and discuss their connections with objective Bayesian posteriors. For a real parameter the approximations are accurate at least to order O(1/n). For the mean parameter of a multivariate exponential family, our fiducial distribution is asymptotically normal and invariant to the importance ordering of the components of the mean parameter.
Keywords
Cite
@article{arxiv.1612.04288,
title = {Some Asymptotic Results for Fiducial and Confidence Distributions},
author = {Piero Veronese and Eugenio Melilli},
journal= {arXiv preprint arXiv:1612.04288},
year = {2017}
}
Comments
New examples are added to compare our results with traditional MLE inference, with emphasis on coverage probabilities. New references are added