Confidence Distribution, the Frequentist Distribution Estimator of a Parameter: A Review

• Published in: International statistical review Vol. 81; no. 1; pp. 3 - 39
• Main Authors: Xie, Min-ge, Singh, Kesar
• Format: Journal Article
• Language: English
• Published: Oxford, UK Blackwell Publishing Ltd 01.04.2013; Blackwell Publishing; John Wiley & Sons, Inc
• Subjects: Bayesian analysis; Bayesian method; Confidence; Confidence distribution; Confidence intervals; Estimates; estimation theory; Estimators; fiducial distribution; Inference; Intervals; likelihood function; Normal distribution; Parameter estimation; Statistical inference; Statistical methods

In frequentisi inference, we commonly use a single point (point estimator) or an interval (confidence interval/"interval estimator") to estimate a parameter of interest. A very simple question is: Can we also use a distribution function ("distribution estimator") to estimate a pa...