statistics

profile likelihood

Handling nuisance parameters by maximising the likelihood over them at each value of the parameter of interest.
16 related articles

Description

In statistical inference, you often care about one parameter (say, the mass of a particle) but must also account for other 'nuisance' parameters (like detector calibration) that you don't care about but that affect your data. The profile likelihood is a way to focus on the parameter of interest: for each possible value of that parameter, you find the best-fit values of all nuisance parameters by maximizing the likelihood, then record only the maximum likelihood value. This yields a 'profile' of the likelihood as a function of the parameter of interest, which you can use to construct confidence intervals or test hypotheses.

History

The concept was introduced by statisticians in the mid-20th century, notably by Jerzy Neyman and later formalized by others; the term 'profile likelihood' became standard in the 1970s.

How it works

Imagine a likelihood function that depends on both the parameter of interest θ and nuisance parameters ν. For a fixed θ, you maximize over ν, obtaining L_profile(θ) = max_ν L(θ, ν). Repeating this for many θ values gives a one-dimensional curve. The ratio of this profile to its maximum follows an approximate chi-squared distribution (Wilks' theorem) under certain regularity conditions, allowing you to derive confidence intervals. This is computationally efficient because you don't have to integrate over nuisance parameters, just optimize.

In practice

Widely used in particle physics (e.g., Higgs boson mass and signal strength measurements) and in cosmology for parameter estimation from CMB data.

Fun fact

Profile likelihood can give misleadingly narrow intervals when the nuisance parameters are poorly constrained, a phenomenon known as the 'profile likelihood problem'.

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