On confidence intervals associated with the usual and adjusted likelihoods

R. Mukerjee and N. Reid

Journal of the Royal Statistical Society Series B, 1999, vol. 61, issue 4, 945-953

Abstract: In the presence of nuisance parameters, we drive an explicit higher order asymptotic formula to compare the expected lengths of confidence intervals given by likelihood ratio statistics arising from the usual profile likelihood and various adjustments thereof. Highest posterior density regions, with approximate frequentist validity, are also included in the study.

Date: 1999
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