Some Asymptotic Results for Fiducial and Confidence Distributions

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.

arXiv commentNew examples are added to compare our results with traditional MLE inference, with emphasis on coverage probabilities. New references are added