Fiducial inference, as generalized by Hannig et al. (2016), is applied to nonparametric g-modeling (Efron, 2016) in the discrete case. We propose a computationally efficient algorithm to sample from the fiducial distribution, and use generated samples to construct point estimates and confidence intervals. We study the theoretical properties of the fiducial distribution and perform extensive simulations in various scenarios. The proposed approach gives rise to surprisingly good statistical performance in terms of the mean squared error of point estimators and coverage of confidence intervals. Furthermore, we apply the proposed fiducial method to estimate the probability of each satellite site being malignant using gastric adenocarcinoma data with 844 patients (Efron, 2016).
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