A Method for Computing Profile-Likelihood-Based Confidence Intervals
Journal of the Royal Statistical Society Series C (Applied Statistics)Published 1 January 1988
David Venzon, Suresh H. Moolgavkar
Citations562
SJR quartileQ2
SJR score0.65
SNIP0.78
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Abstract
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.
Keywords
Mathematics
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