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A Method for Computing Profile‐Likelihood‐Based Confidence Intervals
Author(s) -
Venzon D. J.,
Moolgavkar S. H.
Publication year - 1988
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2347496
Subject(s) - confidence interval , confidence region , computation , statistic , algorithm , confidence distribution , mathematics , statistics , computer science , interval (graph theory) , newton's method , mathematical optimization , physics , combinatorics , nonlinear system , quantum mechanics
SUMMARY The method of constructing confidence regions based on the generalised likelihood ratio statistic is well known for parameter vectors. A similar construction of a confidence interval for a single entry of a vector can be implemented by repeatedly maximising over the other parameters. We present an algorithm for finding these confidence interval endpoints that requires less computation. It employs a modified Newton‐Raphson iteration to solve a system of equations that defines the endpoints.