FIDUCIAL THEORY AND OPTIMAL INFERENCE

• 成果类型: Article
• 署名作者: Taraldsen, Gunnar; Lindqvist, Bo Henry
• 署名单位: SINTEF; Norwegian University of Science & Technology (NTNU)
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/13-AOS1083
• 发表日期: 2013
• 页码: 323-341
• 关键词: priors

摘要

It is shown that the fiducial distribution in a group model, or more generally a quasigroup model, determines the optimal equivariant frequentist inference procedures. The proof does not rely on existence of invariant measures, and generalizes results corresponding to the choice of the right Haar measure as a Bayesian prior. Classical and more recent examples show that fiducial arguments can be used to give good candidates for exact or approximate confidence distributions. It is here suggested that the fiducial algorithm can be considered as an alternative to the Bayesian algorithm for the construction of good frequentist inference procedures more generally.