David Bickel, statistician

Novel developments in statistics and information theory call for a reconsideration of important aspects of two of R. A. Fisher’s most controversial ideas: the fiducial argument and the direct use of the likelihood function. Some key features of observed confidence levels, the direct use of the likelihood function, and the minimum description length principle are summarized here:

1. Like the fiducial distribution, a probability measure of observed confidence levels is in effect a posterior probability distribution of the parameter of interest that does not require any prior distribution. Derived from sets of confidence intervals, this probability distribution of a parameter of interest is traditionally known as a confidence distribution. When the parameter of interest is scalar, the observed confidence level of a composite hypothesis is equal to its fiducial probability. On the other hand, observed conference levels do not suffer from the difficulties of constructing a fiducial distribution of a vector parameter.
2. The likelihood ratio serves not only as a tool for the construction of point estimators, p-values, confidence intervals, and posterior probabilities, but is also fruitfully interpreted as a measure of the strength of statistical evidence for one hypothesis over another through the lens of a family of distributions. Modern versions of Fisher’s evidential use of the likelihood overcome multiplicity problems that arise in standard frequentism without resorting to a prior distribution.
3. A related approach is to select the family of distributions using a modern information-theoretic reinterpretation of the likelihood function. In particular, the minimum description length principle extends the scope of Fisherian likelihood inference to the challenging problem of model selection.

2010 Workshop on Information Theoretic Methods in Science and Engineering
August 16 – 18, 2010 | Tampere, Finland