Fiducial inference

Fiducial inference is one of a number of different types of statistical inference. These are rules, intended for general application, by which conclusions can be drawn from samples of data. In modern statistical practice, attempts to work with fiducial inference have fallen out of fashion in favour of frequentist inference, Bayesian inference and decision theory. However, fiducial inference is important in the history of statistics since its development led to the parallel development of concepts and tools in theoretical statistics that are widely used. Some current research in statistical methodology is either explicitly linked to fiducial inference or is closely connected to it. The general approach of fiducial inference was proposed by Ronald Fisher. Here "fiducial" comes from the Latin for faith. Fiducial inference can be interpreted as an attempt to perform inverse probability without calling on prior probability distributions. Fiducial inference quickly attracted controversy and was never widely accepted. Indeed, counter-examples to the claims of Fisher for fiducial inference were soon published. These counter-examples cast doubt on the coherence of "fiducial inference" as a system of statistical inference or inductive logic. Other studies showed that, where the steps of fiducial inference are said to lead to "fiducial probabilities" (or "fiducial distributions"), these probabilities lack the property of additivity, and so cannot constitute a probability measure. The concept of fiducial inference can be outlined by comparing its treatment of the problem of interval estimation in relation to other modes of statistical inference. A confidence interval, in frequentist inference, with coverage probability γ has the interpretation that among all confidence intervals computed by the same method, a proportion γ will contain the true value that needs to be estimated. This has either a repeated sampling (or frequentist) interpretation, or is the probability that an interval calculated from yet-to-be-sampled data will cover the true value.

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