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A Method for Computing Profile‐Likelihood‐Based Confidence Intervals

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  • D. J. Venzon
  • S. H. Moolgavkar

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.

Suggested Citation

  • D. J. Venzon & S. H. Moolgavkar, 1988. "A Method for Computing Profile‐Likelihood‐Based Confidence Intervals," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 37(1), pages 87-94, March.
    • Handle: RePEc:bla:jorssc:v:37:y:1988:i:1:p:87-94
    DOI: 10.2307/2347496
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    12. Xiaowei Ren & Jielai Xia, 2019. "An algorithm for computing profile likelihood based pointwise confidence intervals for nonlinear dose-response models," PLOS ONE, Public Library of Science, vol. 14(1), pages 1-10, January.

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