Limits and Confidence Intervals in the Presence of Nuisance Parameters
  We study the frequentist properties of confidence intervals computed by the method known to statisticians as the Profile Likelihood. It is seen that the coverage of these intervals is surprisingly good over a wide range of possible parameter values for important classes of problems, in particular whenever there are additional nuisance parameters with statistical or systematic errors. Programs are available for calculating these intervals. 
Wolfgang A. Rolke, Angel M. Lopez, Jan Conrad