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Fiducial theory and optimal inference

Abstract

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.

Category

Academic article

Language

English

Author(s)

  • Gunnar Taraldsen
  • Bo Henry Lindqvist

Affiliation

  • SINTEF Digital / Sustainable Communication Technologies
  • Norwegian University of Science and Technology

Year

2013

Published in

Annals of Statistics

ISSN

0090-5364

Publisher

Institute of Mathematical Statistics

Volume

41

Issue

1

Page(s)

323 - 341

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