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Fiducial and Confidence Distributions for Real Exponential Families

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  • Piero Veronese
  • Eugenio Melilli

Abstract

type="main" xml:id="sjos12117-abs-0001"> We develop an easy and direct way to define and compute the fiducial distribution of a real parameter for both continuous and discrete exponential families. Furthermore, such a distribution satisfies the requirements to be considered a confidence distribution. Many examples are provided for models, which, although very simple, are widely used in applications. A characterization of the families for which the fiducial distribution coincides with a Bayesian posterior is given, and the strict connection with Jeffreys prior is shown. Asymptotic expansions of fiducial distributions are obtained without any further assumptions, and again, the relationship with the objective Bayesian analysis is pointed out. Finally, using the Edgeworth expansions, we compare the coverage of the fiducial intervals with that of other common intervals, proving the good behaviour of the former.

Suggested Citation

  • Piero Veronese & Eugenio Melilli, 2015. "Fiducial and Confidence Distributions for Real Exponential Families," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(2), pages 471-484, June.
    • Handle: RePEc:bla:scjsta:v:42:y:2015:i:2:p:471-484
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    File URL: http://hdl.handle.net/10.1111/sjos.12117
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    References listed on IDEAS

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    1. Lidong, E. & Hannig, Jan & Iyer, Hari, 2008. "Fiducial Intervals for Variance Components in an Unbalanced Two-Component Normal Mixed Linear Model," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 854-865, June.
    2. Ryan Martin & Chuanhai Liu, 2013. "Inferential Models: A Framework for Prior-Free Posterior Probabilistic Inference," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(501), pages 301-313, March.
    3. Jan Hannig & Thomas C. M. Lee, 2009. "Generalized fiducial inference for wavelet regression," Biometrika, Biometrika Trust, vol. 96(4), pages 847-860.
    4. Min-ge Xie & Kesar Singh, 2013. "Confidence Distribution, the Frequentist Distribution Estimator of a Parameter: A Review," International Statistical Review, International Statistical Institute, vol. 81(1), pages 3-39, April.
    5. Guido Consonni & Piero Veronese, 2001. "Conditionally Reducible Natural Exponential Families and Enriched Conjugate Priors," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(2), pages 377-406, June.
    6. Tore Schweder & Nils Lid Hjort, 2002. "Confidence and Likelihood," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 29(2), pages 309-332, June.
    7. Consonni, Guido & Veronese, Piero & Gutiérrez-Peña, Eduardo, 2004. "Reference priors for exponential families with simple quadratic variance function," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 335-364, February.
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    Cited by:

    1. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
    2. Piero Veronese & Eugenio Melilli, 2021. "Confidence Distribution for the Ability Parameter of the Rasch Model," Psychometrika, Springer;The Psychometric Society, vol. 86(1), pages 131-166, March.
    3. Veronese, Piero & Melilli, Eugenio, 2018. "Some asymptotic results for fiducial and confidence distributions," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 98-105.
    4. Gunnar Taraldsen, 2023. "The Confidence Density for Correlation," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 600-616, February.

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