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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
Stable URL: http://www.jstor.org/stable/2347496
Page Count: 8
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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.
Journal of the Royal Statistical Society. Series C (Applied Statistics) © 1988 Royal Statistical Society