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Self-consistent confidence sets and tests of composite hypotheses applicable to restricted parameters. (English) Zbl 1512.62030

Summary: Frequentist methods, without the coherence guarantees of fully Bayesian methods, are known to yield self-contradictory inferences in certain settings. The framework introduced in this paper provides a simple adjustment to \(p\) values and confidence sets to ensure the mutual consistency of all inferences without sacrificing frequentist validity. Based on a definition of the compatibility of a composite hypothesis with the observed data given any parameter restriction and on the requirement of self-consistency, the adjustment leads to the possibility and necessity measures of possibility theory rather than to the posterior probability distributions of Bayesian and fiducial inference.

MSC:

62F15 Bayesian inference
62F03 Parametric hypothesis testing
62F25 Parametric tolerance and confidence regions
60A05 Axioms; other general questions in probability
62F30 Parametric inference under constraints

References:

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