Demystifying Inferential Models: A Fiducial Perspective

Abstract: Inferential models have recently gained in popularity for valid uncertainty quantification. In this paper, we investigate inferential models by exploring relationships between inferential models, fiducial inference, and confidence curves. In short, we argue that from a certain point of view, inferential models can be viewed as fiducial distribution based confidence curves. We show that all probabilistic uncertainty quantification of inferential models is based on a collection of sets we name principle sets and principle assertions.