Confidence distributions from likelihoods by median bias correction (1607.05136v1)

Abstract: By the modified directed likelihood, higher order accurate confidence limits for a scalar parameter are obtained from the likelihood. They are conveniently described in terms of a confidence distribution, that is a sample dependent distribution function on the parameter space. In this paper we explore a different route to accurate confidence limits via tail-symmetric confidence curves, that is curves that describe equal tailed intervals at any level. Instead of modifying the directed likelihood, we consider inversion of the log-likelihood ratio when evaluated at the median of the maximum likelihood estimator. This is shown to provide equal tailed intervals, and thus an exact confidence distribution, to the third-order of approximation in regular one-dimensional models. Median bias correction also provides an alternative approximation to the modified directed likelihood which holds up to the second order in exponential families.