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A Method for Computing Profile-Likelihood-Based Confidence Intervals

D. J. Venzon and S. H. Moolgavkar
Journal of the Royal Statistical Society. Series C (Applied Statistics)
Vol. 37, No. 1 (1988), pp. 87-94
Published by: Wiley for the Royal Statistical Society
DOI: 10.2307/2347496
Stable URL: http://www.jstor.org/stable/2347496
Page Count: 8
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A Method for Computing Profile-Likelihood-Based Confidence Intervals
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Abstract

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.

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