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Can Bayesian, confidence distribution and frequentist inference agree?

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  • Erlis Ruli

    (University of Padova)

  • Laura Ventura

    (University of Padova)

Abstract

We discuss and characterise connections between frequentist, confidence distribution and objective Bayesian inference, when considering higher-order asymptotics, matching priors, and confidence distributions based on pivotal quantities. The focus is on testing precise or sharp null hypotheses on a scalar parameter of interest. Moreover, we illustrate that the application of these procedures requires little additional effort compared to the application of standard first-order theory. In this respect, using the R software, we indicate how to perform in practice the computation with three examples in the context of data from inter-laboratory studies, of the stress–strength reliability, and of a growth curve from dose–response data.

Suggested Citation

  • Erlis Ruli & Laura Ventura, 2021. "Can Bayesian, confidence distribution and frequentist inference agree?," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(1), pages 359-373, March.
    • Handle: RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00520-y
    DOI: 10.1007/s10260-020-00520-y
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    References listed on IDEAS

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