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Generalized fiducial inference

Generalized Fiducial Inference provides a recipe for constructing confidence intervals as well as tools for establishing the asymptotically correct coverage of many of these intervals. Confidence intervals based on the generalized fiducial framework have been applied to a wide range of problems, many of which lack exact pivots, and these intervals have exhibited excellent asymptotic and small sample performance. Generalized fiducial inference has also been used for model selection and simultaneous inference. In this article, the generalized fiducial framework is presented along with important results and applications. In the process, simple examples are used to illustrate the intuition behind and the application of the framework and its tools. WIREs Comput Stat 2014, 6:132–143. doi: 10.1002/wics.1291