Some asymptotic results for fiducial and confidence distributions

Piero Veronese and Eugenio Melilli

Statistics & Probability Letters, 2018, vol. 134, issue C, 98-105

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(n−1). For the mean parameter μ=(μ1,…,μk) of an exponential family, our fiducial distribution is asymptotically normal and invariant to the importance ordering of the μi’s.

Keywords: Ancillary statistic; Confidence curve; Coverage probability; Natural exponential family; Matching prior; Reference prior (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.10.011

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