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Confidence Distribution (CD): Distribution Estimator of a Parameter

Kesar Singh, Minge Xie and William E. Strawderman
Lecture Notes-Monograph Series
Vol. 54, Complex Datasets and Inverse Problems: Tomography, Networks and Beyond (2007), pp. 132-150
Stable URL: http://www.jstor.org/stable/20461464
Page Count: 19
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Confidence Distribution (CD): Distribution Estimator of a Parameter
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Abstract

The notion of confidence distribution (CD), an entirely frequentist concept, is in essence a Neymanian interpretation of Fisher's Fiducial distribution. It contains information related to every kind of frequentist inference. In this article, a CD is viewed as a distribution estimator of a parameter. This leads naturally to consideration of the information contained in CD, comparison of CDs and optimal CDs, and connection of the CD concept to the (profile) likelihood function. A formal development of a multiparameter CD is also presented.

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