Inference for bounded parameters - University of Toronto
Inference for bounded parametersD. A. S. Fraser ∗ and N. Reid †Department of Statistics, University of TorontoA. C. M. Wong ‡Department of Mathematics and Statistics, York University(Dated: November 4, 2003)The estimation of signal frequency count in the presence of background noise has had muchdiscussion in the recent physics literature, and Mandelkern  brings the central issues to thestatistical community, leading in turn to extensive discussion by statisticians. The primary focushowever in  and the accompanying discussion is on the construction of a confidence interval. Weargue that the likelihood function and p-value function provide a comprehensive presentation of theinformation available from the model and the data. This is illustrated for Gaussian and Poissonmodels with lower bounds for the mean parameter.PACS numbers: 02.50.Tt, 06.20.DkI. INTRODUCTIONMandelkern  brings to the statistical community aseemingly simple statistical problem that arises in highenergy physics; see for example, , . The statisticalmodel is quite elementary but the related inference problemhas substantial scientific presence: as Pekka Sinervo,a coauthor of Abe et al. ,  expresses, “High energyphysicists have struggled with Bayesian and frequentistperspectives, with delays of several years in certain experimentalprogrammes hanging in the balance”.The problem discussed in  can be expressed simply.A variable y follows a distribution with mean θ = b + µ,where b > 0 is known, the shape of the distribution isknown and the parameter µ ≥ 0. The goal is to extractthe evidence concerning the parameter µ, and inparticular present the evidence on whether µ is zero oris greater than zero. In the physics setting y is often acount and is viewed as the sum of a count of y 1 backgroundevents and a count of y 2 events from a possiblesignal. In  and , the signal records the presence ofa possible top quark and the data come from the colliderdetector at Fermilab. The background count y 1 ismodelled as Poisson(b) and the count from the possiblesignal as Poisson(µ). Following Mandelkern  we writey ∼ Poisson(b + µ) and let θ = b + µ be the Poissonmean with the restriction θ ≥ b. There are additionalaspects: for example the data are obtained as subsets ofmore complex counts, the background mean count b isestimated and so on, but we concentrate on the simplerproblem here. We do however illustrate how the generalcase with b estimated from antecedent Poisson counts canbe treated within the general theory.The Poisson case involves a discrete distribution and∗ email@example.com† firstname.lastname@example.org‡ email@example.com introduces some minor complications that that arebest treated separately from the essential inference aspects.Accordingly we include a discussion of the continuouscase and for simplicity consider the normal distributionfor y with mean θ = b + µ and known standarddeviation.Much statistical literature and most of the physics proposalscited by Mandelkern  are concerned with theconstruction of confidence bands for θ at some prescribedlevel of confidence. It is our view that this leads to proceduresthat are essentially decision-theoretic: we “accept”parameter values within the confidence interval and “reject”parameter values outside the interval; a 1/0 presentation.This accept/reject theory evolved from Neymanand Pearson , later generalized as decision theory byWald . The decision theoretic approach dominatedstatistical theory until the mid 1950’s, when Savage promoted the personalistic Bayesian approach and Fisher recommended an inference approach. Both these approachesmake essential use of the likelihood function:the Bayesian approach combines this with prior information,and the inference approach emphasizes the usethe likelihood function and the observed significance or p-value function. The p-value function is constructed usingthe model and observed data, as we shall describe in moredetail below. One difficulty with the confidence intervalapproach arises from the presence of the lower bound bfor the parameter space; if y is small then the confidenceinterval can be partly or completely outside the permissiblerange [b, ∞) for the parameter, making apparentnonsense of an assertion of 95% confidence. Various proposalshave been put forward to modify the confidenceapproach to overcome such difficulties; the most prominentbeing the unified approach of Feldman and Cousins. These proposals seek an algorithm for placing a 1/0valuation on possible parameter values, in the frameworkof a prescribed confidence level. By contrast the p-valuefunction promoted here provides essential evidence fromthe data concerning the value of the parameter; for somebackground see Fraser .