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Some Asymptotic Results for Fiducial and Confidence Distributions (1612.04288v2)
Published 13 Dec 2016 in math.ST and stat.TH
Abstract: Under standard regularity assumptions, we provide simple approximations for specific classes of fiducial and confidence distributions and discuss their connections with objective Bayesian posteriors. For a real parameter the approximations are accurate at least to order O(1/n). For the mean parameter of a multivariate exponential family, our fiducial distribution is asymptotically normal and invariant to the importance ordering of the components of the mean parameter.