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arXiv · 2302.14598

Introduction to Generalized Fiducial Inference

Alexander C. Murph·Jan Hannig·Jonathan P. Williams
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Abstract

Fiducial inference was introduced in the first half of the 20th century by Fisher (1935) as a means to get a posterior-like distribution for a parameter without having to arbitrarily define a prior. While the method originally fell out of favor due to non-exactness issues in multivariate cases, the method has garnered renewed interest in the last decade. This is partly due to the development of generalized fiducial inference, which is a fiducial perspective on generalized confidence intervals: a method used to find approximate confidence distributions. In this chapter, we illuminate the usefulness of the fiducial philosophy, introduce the definition of a generalized fiducial distribution, and apply it to interesting, non-trivial inferential examples.

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Alexander C. Murph, Jan Hannig, Jonathan P. Williams. 2023-02-28. Introduction to Generalized Fiducial Inference. https://arxiv.org/abs/2302.14598

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