# A stronger classical definition of Confidence Limits

## I Introduction

The concept of Confidence Region for a parameter at a given Confidence Level is a center piece of classical statistics and was first introduced by Neyman. It gives a definite meaning to the making of statistical inferences about the region where the value of an unknown parameter might fall, without any assumption on whether the parameter can be attributed some probability distribution and what it might be. An alternative approach to setting acceptance regions for a parameter is from Bayes, that on the opposite assumes and explicitly incorporates the information from a probability distribution of the parameter, which is supposed to be known before the measurement of the data set in hand, and it is therefore called “a priori” distribution.

With regard to the choice between the two methods of statistical inference, the Author shares a common opinion that Bayesian methods are very useful whenever there is a solid ground for establishing the ”a priori” parameter distribution, which this method readily exploits in optimal way, but the classical methods are the only reasonable choice whenever this does not happen. Unfortunately the measurements of physics quantities belong almost always to the second class. The widespread preference of the physicists for classical methods of setting acceptance regions seemed recently to weaken when it was realized that the usual procedures for setting limits in the classical framework can lead in some cases to highly counter-intuitive results.

Several solutions to this unpleasant situation have been proposed, some of them requiring partial fallback on Bayesian concepts, or even argued that the classical method was fundamentally weak, and could not work without the supplement of some Bayesian ingredient.

Other authors , defended the classical point of view by proposing some alternative methods for setting limits that eliminate the unpleasant results while still adhering to Neyman’s prescription. The present work follows that same line of looking for meaningful results within the classical approach, avoiding any Bayesian contamination. However, I argue that none of the previous proposals is completely satisfying, and that a deeper revision of current ideas is needed in order to really solve the difficulties, yielding to very different conclusions from past work on the subject.

It is worth noting that the insistence on classical methods should not be taken to imply that the Bayesian method are not very useful in the more limited field where they are unambiguously applicable.

In Sec. II a few examples of problematic limits are discussed, some of which appear not to have been previously considered. In Sec. III A I analyze the reasons for the physicist’s dissatisfaction and what they reveal about the incompleteness of the classical CL definition by Neyman, and in sec. III B I propose a general solution of these issues completely contained in the realm of classical statistics. In Sec. IV the most important features of the proposed approach are discussed, with brief notes on some specific examples.

## II Problems with standard classical limits

### A Definitions and notations

Let $`\mu M`$ indicate some unknown parameters, and $`xX`$ a random variable we can observe, whose probability distribution $`p(x|\mu )`$ (pdf for short) depends in some way on the unknowns $`\mu `$. Both $`\mu `$ and $`x`$ can be arbitrary objects, e.g. they can be vectors of real numbers of any length. When the observable is continuous a probability density rather that a discrete distribution is necessary to describe it, but for simplicity the same notation $`p(x|\mu )`$ will be used, and the distinction will be explicitly noted only when necessary. In both cases $`p(xS|\mu )`$ will indicate the total probability for the observable to fall in a given subset $`SX`$, independently on whether it is obtained by a sum (discrete variable) or an integration (continuous), or both<sup>*</sup><sup>*</sup>*Note that $`p(x\{\overline{x}\}|\mu )=p(\overline{x}|\mu )`$ for discrete variables, while $`p(x\{\overline{x}\}|\mu )=0`$ for continuous variables, independently of the value of the density $`p(\overline{x}|\mu )`$ at the point $`\overline{x}`$..

Let $`B(x)`$ be any function associating to each possible observed value of $`x`$ a subset of values of $`\mu `$ ($`B`$ is intended to represent some algorithm to select “plausible” values of the unknown $`\mu `$ on the basis of our observation). The classical definition of CL from Neyman can then be stated as follows: the function $`B`$ (“confidence band”) is said to have “Confidence Level” equal to $`CL`$ if, whatever the value of $`\mu `$, the probability of obtaining a value of $`x`$ such that $`\mu `$ is included in the accepted region $`B(x)`$ is (at least) CL. In short:

$$CL(B)=\underset{\mu }{inf}p(\mu B(x)|\mu )=1\underset{\mu }{sup}p(\mu B(x)|\mu )$$
(1)   
Obviously the Confidence Level is a property of the band $`B`$ as a whole, not of a confidence region associated to a particular value of $`x`$: it is quite possible for two different algorithms $`B`$ and $`B^{}`$, to give the same confidence region for some $`\overline{x}`$, and still have very different Confidence Levels. This is the reason for the need of always deciding the algorithm $`B`$ before making the actual measurement, clearly implied by the original formulation, but apparently often forgotten, and only recently clearly pinpointed.

Neyman’s definition is so general, that after choosing the desired CL, there is a very wide variety of bands $`B`$ satisfying it. In a generic case, confidence regions can be arbitrarily complicated subsets of the $`\mu `$ space. One can even construct fractal confidence region if one likes to do so.

For this reason, soon some “rules” have been invented to easily obtain simple confidence regions with desirable properties. Most of them are based on ordering all possible values of the observable $`x`$ according to some rule, and then determining the confidence region by adding up in order as many values as needed for reaching the desired coverage, that is the integral of the pdf over the accepted region. Common examples of rules are upper/lower limits, based on ordering for increasing/decreasing value of $`x`$ (assumed a number), “centered” (for unidimensional $`x`$, order by decreasing tail probability, yields equal probabilities in the upper and lower excluded regions), and the band obtained by ordering for decreasing $`p(x|\mu )`$ (“narrowest band”, or “Crow band” in the following).

These rules really have nothing fundamental, but they have been so commonly used that they have been sometimes identified with the very essence of the CL concept. For this reason, when some examples were found that showed serious limitations of these rules, their failure has been sometimes perceived as a failure of classical statistics as a whole, and alternative solutions often looked for in Bayesian concepts.

Obviously, other choices can be singled out within the huge space of classical solutions, to give satisfactory solutions to those cases. In order to overcome the limitations of the other methods, the new method of Likelihood Ratio (LR) orderingThis is often referred to in the literature as “unified approach” due to its capability of producing a single band containing both “central” and “upper/lower” intervals, but that property is not of particular relevance in the present context, therefore the more explicit expression LR–ordering is adopted has been recently proposed. This amounts to order the observable values by decreasing $`p(x|\mu )/p(x|\widehat{\mu })`$, where $`\widehat{\mu }`$ represents the maximum likelihood estimate of $`\mu `$, given $`x`$. This method appears to have distinct advantages over the previous, and stirred great interest around this problem. However, it does have limitations, that have inspired some amendments.

I will argue in the next subsection that the LR–ordering method and its modifications have pitfalls as serious as those of other methods they are intended to replace, and cannot therefore be considered a genuine solution.

### B Specific examples

I proceed now to examine some examples of problematic confidence bands.

The pathologies encountered are essentially of two kinds. The first and more obvious is when the confidence region happens to be the empty set. I avoid to speak of “unphysical values” of the parameters because I find it a confusing terminology: in every problem the parameters can assume values inside some domain, determined by the nature of the problem. If that domain actually describes all conceivable values of parameters for which a $`p(x|\mu )`$ exists, then there is no meaning in referring to hypothetical values outside that domain: they just do not exist as possible values for $`\mu `$. On the other hand, if the formulation of the physical problem allows to attach a meaning to other values of the parameters, they should be taken into account from the start, and cannot be called “unphysical”. Similar considerations apply to the expression “the maximum of the likelihood function lies outside the physical region”: the expression usually really means that the maximum occurs on the border of the parameter space, which does not poses particular problems and certainly does not suggest arbitrary extrapolations of the likelihood function outside its domain of existence.

The other possible pathology is to have “unreasonably small” confidence regions, that is actually just a softer version of the previous. It is less obvious to detect, but it should be clear that it is just as unacceptable from the physicist’s point of view. Also, it is potentially more dangerous since the experiment result will superficially appear to convey a great deal of information. How do we know that a limit is too tight ? A possible symptom of this situation is when the limits become tighter with decreasing experiment sensitivity, as in the example of Poisson with background below.

#### 1 Poisson with background: a sensitivity paradox

Let us examine briefly this problem of Confidence Limits of great practical importance. The probability distribution is given by:

$$p_b(n|\mu )=e^{(\mu +b)}\frac{(\mu +b)^n}{n!}$$
(2)   
While the observed number of counts $`n`$ can only be positive, the presence of a background $`b`$ constraints the overall mean $`\mu +b`$ of the Poisson to be larger than $`b`$, and therefore creates the possibility of “negative fluctuations” in the form of occurrence of much less observed counts than the average level of background. The“usual” ordering rules mentioned in sec. II A readily produce empty confidence regions in that case.

The LR–ordering prevents this, but its results are counter-intuitive and hard-to-interpret as well.

The problem appears clearly when comparing the results of experiments observing the same number of counts, but affected by different levels of background. It is easy to see that with the LR method the upper limit on $`\mu `$ goes to zero for every $`n`$ as $`b`$ goes to infinity, so that a low fluctuation of the background entitles to claim a very stringent limit on the signal. This means that the limit can be much more stringent than in the case of zero observed events and zero background. This is clearly hard to accept.

The modification proposed in  only softens this behavior, and in addition uses Bayesian concepts in its formulation, therefore the uncompromising classical physicist will not want to consider it.

The absurdity of the result is best seen by looking at the case of zero observed events. This has been clearly pointed out in.

If there is no background, and one observes zero events, one knows that no signal event showed in the sample at hand, and one can deduce an upper limit on $`\mu `$ from this fact. If there is some level of background and one observes zero events, that implies two facts:

* a) no signal event showed in the current sample
* b) no background event showed in the current sample

The two occurrences are statistically independent, by assumption of Poisson distribution, therefore they can be considered separately. Fact b) is totally uninteresting for what concerns the signal: our only help in making decisions about $`\mu `$ is fact a), which is exactly the same information we had in the case of no background. A sensible algorithm must therefore give the same upper limit on $`\mu `$ in the zero-count case, whatever the expected background.

This failure is particularly important if one considers that this behavior stems from the same root as the other problem that the LR proposal is intended to cure. In fact, the problem can be summarized by saying that the low likelihood of occurrence of event b) ”fools” the algorithm into making up a very narrow confidence region that has no basis in what we actually learned from the experiment. This is exactly the same mechanism that leads to empty regions with the older rules: the rarity of a set of results is taken as a good reason for rejecting values of the parameter even if it is uncorrelated with the value of that parameter. This should make us dubious about the question of whether the approach of LR ordering really addresses the issue.

This problem was not missed by the proponents of the method, who devote a section of their paper to it . They maintain that the concern for this problem is motivated by “a misplaced Bayesian interpretation of classical intervals”, but nonetheless suggest that in this kind of cases the experimentalist should not publish just the limits, but also an additional quantity to represent the ‘sensitivity’ of the experiment. This however avoids the question of how to provide an interval that properly and completely represent the results of the measurement, including all information about the sensitivity, that is the question the present work tries to address.

The modification of LR–ordering proposed in  to address this problem is based on Bayesian quantities, therefore the uncompromising classical physicist will not accept it. Furthermore, it only softens the problem rather than eliminating it.

A nice classical solution to this dilemma has been presented in Ref. , based on explicitly eliminating the spurious information from the calculation of the coverage, while still ordering the observable values according to LR. The amount of background events in the sample is forced to be less than the total number of observed events. This modification removes the paradoxical behavior of the limits, and produces results which seem reasonable from all points of view, so the particular problem of the Poisson with background might be considered as solved.

However, the above procedure appears to be ad hoc, and it is not clear how to apply it to different situations, like the other examples of this section. In addition to that, the example that follow will show an important weakness of that variant, and any other variant based on the LR ordering rule.

#### 2 Gaussian with positive mean

This is another very important example: $`p(x|\mu )`$ is gaussian, but the condition $`\mu >0`$ holds. If one tries to apply the Crow band, which is the usual choice for the unbounded case, one gets empty confidence region for $`x<1.96`$ at 95% CL. This does not happen if one uses the LR ordering rule, as extensively discussed in .

This example makes a very good case for the LR method, but unfortunately it is easy to expose its instability. Consider a modification of the gaussian pdf obtained by adding a second, very narrow gaussian of the same height but negligible width and area. Let the second gaussian be centered at a different location, for instance $`\mu _2=1/\mu `$. What is important is just that $`\mu _2\mathrm{}`$ as $`\mu 0`$.

Intuitively, this is a very small change of the problem: it just means that in a negligible fraction of cases the measurement $`x`$ will fall in a different, narrowly determined location. This is not so artificial an example as it may seem, since it is quite possible for an experimental apparatus to have rare occurrences of singular responses.

How the confidence regions should change, according to common sense ? If the probability of this occurrence is very small (let’s say $`1CL`$) one would just ignore the possibility and quote the same confidence limits as before. One would therefore want from a sound algorithm to yield very similar bands to the unperturbed case. Unfortunately, this does not happen with the LR ordering method: since the ordering is based on the value of the maximum of the pdf, the narrow peak of negligible physical meaning is capable of altering the ordering completely: the maximum of the Likelihood is now a constant for every value of $`x`$, and the resulting band goes back suddenly to something very similar to the old Crow band, that is just ordering by $`p(x|\mu )`$. For large negative deviations, the intervals are not exactly empty, but contain a tiny interval centered around the peak of the second gaussian. However, this hardly makes the result satisfying from a physicist’s point of view. When observing a large negative deviation, it is much more likely that is comes from the tail of the main gaussian rather than from the “extremely rare” second gaussian, and one would like the confidence limits to reflect this fact. The response of the LR method that instead “completely forgets” the main gaussian to focus on the secondary peak, no matter how narrow, appears as a crucial failure. From a practical point of view, this kind of instability of the solution means that the response of the apparatus must be known with infinite precision in order to be able to use the algorithm.

Note that the problem is intrinsic to the ordering, therefore any modification of the method acting only on the coverage criteria, as the one proposed in  for handling the Poisson case, will be plagued by the same problem.

It is also worth reflecting on what happens if the second peak is not so narrow, but rather comparable to the main peak. In that situation, the LR algorithm might give a result which is not so violently in contrast with common sense. Yet, it is hard to avoid the suspect that also in that case the result will be, in some ill–defined way, not what a physicist wants.

#### 3 Empty confidence regions are not ruled out by the LR method

The previous example showed a case where LR ordering yields negligibly narrow confidence regions. For completeness, it is worth noting that it is also possible to formulate examples where the LR–ordering produces completely empty confidence regions on wide ranges of the observable, contrary to what is generally assumed.

This can be obtained, for instance, by adding to the pdf a narrow, wiggling ridge of ever increasing height, still of negligible area. For instance, in the previous example one might simply add to the pdf the function:

$$ϵN(x_0+\delta \mathrm{sin}(\mu ),\frac{\alpha }{1+\mu })$$

where $`N(m,\sigma )`$ stands for the Gaussian function with unit area, mean $`m`$ and standard deviation $`\sigma `$, and $`\delta `$, $`\alpha `$, and $`ϵ`$ are real numbers ( $`\alpha `$ and $`ϵ`$ are “small”). It is easy to see that the likelihood function for any $`x[x_0\delta ,x_0+\delta ]`$ has periodic “spikes” with a height that increases without limit as $`\mu \mathrm{}`$, therefore the maximum likelihood is infinite, and the LR is zero for all $`x[x_0\delta ,x_0+\delta ]`$ and all values of $`\mu `$, including the points on the spikes themselves. As a consequence, all points in the interval $`x[x_0\delta ,x_0+\delta ]`$ will get the lowest possible rank in the ordering, so they will be the last to be added to the accepted region, for all $`\mu `$. If an interval is chosen in such a way that $`p(x[x_0\delta ,x_0+\delta ]|\mu )<1Cl`$ (which is always possible whatever the pdf), then the confidence region will be the empty set for all $`x[x_0\delta ,x_0+\delta ]`$.

The example is clearly very artificial, but is nonetheless valuable in signaling the existence of a problem.

#### 4 Uniform distribution

An example which is simpler than the previous and totally plausible in practice, yet presents unexpected difficulties is the uniform distribution:

$$p(x|\mu )=1\text{ if }\mu <x<\mu +1\text{, otherwise 0}.$$
(3)   
Let’s consider the case of the domain of $`\mu `$ being the full set of real numbers. The upper/lower limits presents no trouble in this case, but both the Crow band and the LR band are indeterminate, since every value of $`x`$ gets assigned the same rank, for whatever $`\mu `$, therefore any band satisfying Neyman’s condition will satisfy both. In particular, note that LR–ordering does not exclude empty confidence intervals in this example. Again this indicates that the root of the difficulties that motivated this approach has not, in fact, been eliminated.

Anyway, here we are again confronted with instability of the solution: a very small perturbation of this pdf, obtained by adding an arbitrary “infinitesimal” function with zero total integral will resolve the ambiguity in a way which depends completely on the exact form of the perturbation, however small its size. In this case it is not even necessary to consider narrow spikes as in previous examples: the instability can be obtained with perfectly smooth and slow–varying functions.

Also, there is no obvious way to extend to this case the modifications suggested in  for the Poisson with background example.

#### 5 Indifferent distributions

In order to better illuminate the nature of the problem that is frustrating the attempts at obtaining sound classical limits it is useful to examine a “trivial” example: a probability distribution that does not depend on the value of $`\mu `$:

$$p(x|\mu )=p(x)$$
(4)   
For simplicity, consider the specific case of a distribution of a discrete observable with just two values (‘A’ and ‘B’) depending on a parameter with just two possible values (‘P’ and ‘Q’), given by the following table:

|  | P | Q |
| --- | --- | --- |
| A | 0.95 | 0.95 |
| B | 0.05 | 0.05 |

(5)   
Clearly in this case the observable is not providing any information on the parameter. What is a “sensible” band in this case? Obviously no conclusion can be drawn, so it should be clear that the only acceptable band is the one that includes the whole table. On the other end, most rules will yield an empty region in case ‘B’.

The LR is constant everywhere, so the LR–ordering allows you to choose any Neyman band. In force of the economical principle that unneeded overcoverage is to be avoided, the best solution appears to be the band that covers only the upper row of the table, and leaves an empty region for case ‘B’, just as the Crow rule.

In principle, nothing forbids to even choose arbitrarily to reject one of the two values ‘P’ and ‘Q’ and keep the other in the case ‘B’ is observed, thus accepting some overcoverage. That choice is very unreasonable from a physicist’s viewpoint: it means one can conclude essentially anything from the occurrence of event ‘B’. For instance, when investigating the neutrino mass, one can make an “experiment” by doing something completely unrelated, for instance, by throwing a pair of dice. Since the probability of getting, say, 6 on both dice is $`<3\%`$, if that event actually occurs, one is entitled to exclude a mass range of his choice at 97% CL. I think very few persons would accept this as a sensible inference, yet the procedure is perfectly correct from the point of view of Neyman’s definition, and is compatible with LR–ordering, too.

Here the criteria of coverage shows clearly its inadequacy: to obtain a sensible answer it is not enough that no more than 5% of the outcomes are excluded for every $`\mu `$, it would also be necessary to make sure in some way that the choice one makes is not based on information irrelevant for distinguishing different values of the parameter.

It should be clear at this point that this is the fundamental weakness of Neyman’s definition (1), from which all problems arise. As for the LR ordering rule, it appears to be going somehow in the right direction, but it is unable to provide a clear–cut answer to a simple problem like this.

Things get even worse if a small perturbation of the indifferent band is introduced, leading to the following situation:

|  | P | Q |
| --- | --- | --- |
| A | $`0.95+ϵ`$ | $`0.95ϵ`$ |
| B | $`0.05ϵ`$ | $`0.05+ϵ`$ |

Common sense clearly suggests not to draw any conclusion in this case, too (not at 95% CL, at least).

The LR method instead provides now unambiguously the answer of a confidence region covering all but the lower left cell. This means, no conclusion is drawn from observing event ‘A’, but ‘P’ is excluded if event ‘B’ is observed.

Admittedly, now ‘Q’ is the maximum Likelihood estimation of the parameter , but the difference with the previous case of “crazy inferences” is infinitesimal. When we claim that the conclusion has 95% CL, what meaning can we attach to this number if, however small the difference, the CL is always 95% ? It looks like a too strong statement for an infinitesimal difference between the two hypothesis. Note that the band obtained for this case is exactly the same that would have been obtained from the following distribution, at the same CL:

|  | P | Q |
| --- | --- | --- |
| A | $`0.95+ϵ`$ | $`0.05+ϵ`$ |
| B | $`0.05ϵ`$ | $`0.95ϵ`$ |

yet the two situations are intuitively very different in terms of sensitivity of the experiment to the value of the parameter.

This example sheds serious doubts on the meaningfulness of valutations of the sensitivity of a designed experiment based on expected confidence limits calculated with any current rule. Again, this is a very serious inconvenient, and the failure in handling a so simple example should make us suspicious of many other bands, or maybe of all Neyman’s confidence bands.

## III Proposal of a classical solution

### A Nature of the problem

All proposed classical rules for building confidence bands meet with severe difficulties when confronted even with simple problems. This is true also for the recently proposed LR-ordering which appears to do only slightly better that older recipes.

It is worth noting that the characteristics of the most common pdf’s taken as example of the difficulties (first two of previous section) has often lead to speak of a “problem of bounded regions” or of “small signals”. However, the additional examples provided should be sufficient to clarify that the presence of a boundary, or the smallness of the number of counts are just accidents without connection to the root of the problem.

One should ask what is the exact reason for considering the previous examples of confidence limits unacceptable. Their results are obviously mathematically correct. The problem is not of ’mathematical’ or ’statistical’ but of ’physics’ nature: one is lead to setting confidence limits which are intuitively ’unpleasant’ to the physicist, sometimes even paradoxical. We don’t want to accept a result like and empty confidence region, which we know is false no matter what $`\mu `$ is, because we feel we could do better inferences by keeping that fact into account somehow. Indeed a result of this kind does not convey much useful information to the reader. The same can be said for the softer pathology of “unreasonably small” confidence regions.

It is hard to avoid the suspect that problems of the kind exemplified above might be happening even in other cases that we usually regard as problem–free, just because the problem is not so apparent to intuition.

Each of the encountered problems lies in the choice of a particular confidence band, and in principle can be cured by simply choosing a different band. However, one cannot content oneself with avoiding the problem case by case by rejecting unreasonable results “by hands”. The above described weakness are so important to undermine the physicist’s belief in the meaning of CL. It is therefore necessary to find a general way to avoid any such ”unwanted” conclusion, even in possibly softer, hidden forms.

The question is: can we state precisely what properties we require from a confidence band to call it ’physically sensible’ ? Does a single well-defined procedure exist to construct one in a generic case ?

Let us look in more detail at the meaning of confidence limits.

The Neyman’s definition of CL can be phrased in the following way:

“An algorithm is said to have Confidence Level CL if it provides correct answers with probability at least CL, whatever the value of $`\mu `$ (or whatever its probability distribution, if it has one)”

From a practical point of view, this means that if one considers, for instance, the set of all published limits at 95% CL, the expected fraction of them which is indeed “wrong” (that, is, the limits do not include the true value) is 5% (or smaller, if there is some overcoverage).

For comparison, the definition of Bayesian credibility level, when phrased in a similar way, sounds like: “An algorithm is said to have a Bayesian credibility level BL if all answers it produces have at least a probability BL of being correct, provided $`\mu `$ has the (known) probability distribution $`\pi (\mu )`$”. In exchange for an additional assumption (the a–priori distribution) the Bayesian method provides a probability statement about each measurement.

The classical approach cannot possibly do that, since the concept of probability for a single result of being correct simply cannot be formulated in the classical language: each particular result is either true or false, since the unknown parameter is taken to have one (if unknown) value, rather than a distribution of possible values. Superficially, however, the classical method seems to provide a close performance, when saying that the whole set of results contains only a limited fraction of wrong results ($`<1CL`$).

There is, however, a subtle difference between a statement extracted from a sample containing 95% correct statements, and a statement that has a 95% probability of being true. The difference is that in the first case some manifestly false or very unlikely statement are allowed to be part of the set (e.g. , empty confidence regions), provided they are a minority, while in the second case this is not possible: every single possible Bayesian inferred result is forced to be as likely as all others.

This is the fundamental reason for the absence of pathological conclusion in the Bayesian approach, that keeps tempting the classical physicist. Its appeal is so strong that even the purest classical papers show some slight inclination toward Bayesianism.

As an example, the method suggested in  for evaluating an experiment sensitivity uses the concept of “average limit”, that in general requires a a–priori distribution of the parameter to be assumed, even if the paper only consider the special case of no signal for that purpose. In , after a nice classical suggestion for solving the Poisson problem classically, the results are compared to Bayesian results and their similarity is taken as a support to their soundness, notwithstanding the fact that if one had to change the a-priori distribution to something different the Bayesian result will change completely, while the classical result will always stay the same.

It becomes therefore imperative to ask the question: is there any way to give to the classical method the same solidity without introducing any Bayesian element ? If there is none, than it may be simpler to abandon the classical method completely and use Bayesian concepts instead.

The purpose of this paper is to suggest that there is indeed a way to obtain the desired properties in the classical framework.

The definition of CL ensures that the result will be correct at least a fraction CL of the cases. An empty region is never a correct conclusion, because $`\mu `$ has some value by hypothesis. The definition of CL is not meant to prevent wrong conclusions: it just makes sure that they happen rarely, the only limitation to empty CR being that it must not occur with probability greater than 1-CL, whatever the value of $`\mu `$. In fact, it is easy to see that, given a set of values of $`x`$ that has total probability $`<1CL`$ for any $`\mu `$, it is always possible to assign the empty set as confidence region for all $`x`$ in the set, provided the rest of the band is properly adjusted.

This fact may even appear as a kind of inescapable “law” of classical statistics. After all, in formal logic one has that given a contradictory (impossible) assumption one can rigorously derive any statement. We might have to accept a kind of probabilistic analogue as well, that is, from the occurrence of an unlikely event one can statistically infer any statement.

However, this is actually not the case. What disturbs the physicist is not the mere possibility of getting wrong results, which he obviously has to accept, but that one might get a wrong result and know it. One could say that those are “unlucky” experimental results. But there are good reasons to refuse to surrender to the occurrence of “unlucky” results: common sense suggests that once we get a result that we know to be uncommon, there should be a way to correctly account for its rarity, rather than getting confused by it.

In a way, what we really need is to make sure that all experimental outcomes get uniform treatment, like in the Bayesian method.

In this respect, in is worth noting that the strength of the definition of CL lies in its invariance for any transformation of the space of parameters $`\mu `$, even non-continuous. That is, all points of the parameters space get the same treatment, the metric and even the topology of the parameter space being irrelevant. We could even say that this is the essence of the classical statistics. This is to be contrasted with the Bayesian approach, where the a-priori distribution sets a well-defined metric in the parameter space. Then, why it happens that the classical methods seem to be so much worse than the Bayesian in assuring invariance in the outcome space ?

As a matter of fact, Neyman’s definition of CL (1) is symmetric for all values of $`x`$. However, most rules for constructing confidence bands break this symmetry: it is easy to see that by performing a change of variable in $`x`$ one obtains different bandsLR ordering is an important exception. See sec. IV for a discussion of this point. This allows the mere fact that a particular experimental outcome is unlikely for some parameter value to be used to exclude that value, regardless to the fact that the outcome might be unlikely for entirely different reasons than the value of the parameter being sought. That probability might be low for every value of the parameters, so the exclusion of that particular value of $`\mu `$ is taken on the basis of irrelevant information. Neyman’s construction, while compatible with total symmetry in $`x`$, does not explicitly enforces it, because it applies independently to each value of $`\mu `$, and there is no way to tell whether the distribution of $`x`$ has any dependence on the value of $`\mu `$.

We need therefore to find a way to prevent the introduction of information irrelevant to the determination of the parameters in the choice of the confidence band. It should be intuitively clear that there is a connection between the contamination from irrelevant information and the unequal treatment of various possible experimental outcomes that is the basis of paradoxical results.

The present approach is in some way the opposite of the attempts to improve the classical method by the addition of Bayesian elements: it goes in the direction of an even stricter classical orthodoxy. The use of any metric or topological property of the $`x`$ space is regarded as an “a priori bias” producing unequal treatment of some values. That is a kind of contamination from “Bayesianism” that needs to be eradicated from a pure classical method, which ought to use only the information contained in the pdf.

### B A stronger concept of Confidence

We formalize the request that the choice of Confidence Regions must not be based on irrelevant information in the following requirement.

Suppose we take a subset of $`x`$ values and rescale all likelihoods $`p(x|\mu )`$ by the same arbitrary factor, (we have to re-normalize the pdf for the rest of $`x`$ values after that, of course). A physically sensible rule for constructing confidence bands must be invariant under this kind of transformation, since the overall absolute level of probability of the events $`x`$ does not affect the information that can be obtained on $`\mu `$. More precisely, we want to restrict the set of all possible confidence bands to a subset that satisfies the following property, which will be called local scale invariance:

DEFINITION – Let $`xX`$ be an observable and $`\mu M`$ a parameter. Let $``$ be a rule for selecting confidence bands, that is, a function that associates to each possible distribution $`p(x|\mu )`$ a set of Neyman confidence bands with a given CL. We say that $``$ is a locally scale–invariant rule if for any two pdf’s $`p(x|\mu )`$ and $`p^{}(x|\mu )`$ such that $`p^{}(x|\mu )=cp(x|\mu )`$ for all $`\mu M`$ and for all $`x\chi X`$ (with $`c`$ positive constant), and for every confidence band $`B(p)`$, there exist a band $`B^{}(p^{})`$ such that $`B(x)=B^{}(x)`$ for every $`x\chi `$.

This requirement is simple, general, and intuitively satisfying: it says that whatever algorithm we want to use to choose a CR for a certain set of possible observations, it must not be influenced by anything else than the dependence on $`\mu `$ of the probability of the observations in question. Note that both the observable and the parameter space can be completely generic sets. We keep requiring all bands to comply with Neyman’s condition, which however does not by itself guarantee the above property, neither it does any of the proposed algorithms for producing confidence bands, including the LR-ordering. The latter appears clearly from our previous discussion of the example of Poisson with background.

It is interesting to observe that the rank assigned to $`x`$ by the LR–ordering rule is indeed invariant under the above transformation, but the coverage criteria used to decide when to stop adding values of $`x`$ to the acceptance region is not. The normalization constant creates the difficulty here, since one can have a region rejected in one case, that cannot be rejected in the other because its contribution to the total integral may be too large.

We will now show that this seemingly weak requirement is actually very stringent in determining the set of allowed confidence bands, and that it can be turned into a well definite procedure for constructing bands.

This is seen from the following theorem.

THEOREM – The largest set of locally scale–invariant bands coincides with the set of bands satisfying the following requirement:

For every $`\mu M`$ and every $`\chi X`$:

$$\frac{p(x\chi \mu B(x)|\mu )}{sup_\mu p(x\chi |\mu )}1CL.$$
(6)   
whenever the denominator is non–zero.

PROOF:

Part 1 – All bands in a locally scale–invariant set satisfy condition (6).

Suppose (6) does not hold. Then there is a band $`B`$, a subset $`\chi `$ and a parameter value $`\overline{\mu }`$ such that

$$\frac{p(x\chi \overline{\mu }B(x)|\overline{\mu })}{sup_\mu p(x\chi |\mu )}>1CL$$
(7)   
Then consider a new pdf defined inside $`\chi `$ by:

$$p^{}(x|\mu )=\frac{p(x|\mu )}{sup_\mu p(x\chi |\mu )}$$

and arbitrarily extended outside $`\chi `$. This is always possible since by construction $`_\chi p^{}(x|\mu )𝑑x1`$ for every $`\mu `$.

Obviously, for every $`\mu `$:

$$p^{}(\mu B(x)|\mu )p^{}(x\chi \mu B(x)|\mu )$$

And from (7):

$$p^{}(x\chi \mu B(x)|\mu )=\frac{p(x\chi \mu B(x)|\mu )}{sup_\mu p(x\chi |\mu )}>1CL$$

then

$$p^{}(\overline{\mu }B(x)|\overline{\mu })>1CL$$

which contradicts Neyman’s condition. Therefore $`B`$ could not be part of an invariant set, in contradiction with the hypothesis. Therefore eq. (6) is proved.

Part 2 – The set of all bands satisfying (6) is a locally scale–invariant rule.

First of all, note that (6) implies Neyman’s condition as a special case (just take $`\chi =X`$).

Take any $`p`$, $`B`$, $`\chi X`$, $`c>0`$, and $`p^{}=cp`$ for all $`x\chi `$. Note that the ratio in (6) does not change when the pdf is scaled by a constant, so if B satisfies (6) for $`p`$ in $`\chi `$ and all its subsets it will also satisfy it for $`p^{}`$. Let’s define $`B^{}=B`$ in $`\chi `$ and $`B^{}=M`$ (the whole parameter space) outside $`\chi `$. Then, for any $`\xi X`$ we have:

$`{\displaystyle \frac{p^{}(x\xi \mu B^{}(x)|\mu )}{sup_\mu p^{}(x\chi |\mu )}}=`$   
$`={\displaystyle \frac{p^{}(x(\xi \chi )\mu B^{}(x)|\mu )}{sup_\mu p^{}(x\chi |\mu )}}`$   
$`{\displaystyle \frac{p^{}(x(\xi \chi )\mu B^{}(x)|\mu )}{sup_\mu p^{}(x(\xi \chi )|\mu )}}=`$   
$`={\displaystyle \frac{p(x(\xi \chi )\mu B(x)|\mu )}{sup_\mu p(x(\xi \chi )|\mu )}}1CL`$   
This means $`B^{}`$ satisfies (6) for the distribution $`p^{}`$. Since we defined $`B^{}=B`$ in $`\chi `$, this proves local scale–invariance of the set of bands given by (6).

Part 1 and 2 together show that the two sets coincide, concluding the proof. Note that they implicitly prove that the “largest set of locally scale–invariant bands” indeed exists, which was not granted a priori<sup>§</sup><sup>§</sup>§We could have proved the existence beforehand, by observing that the union of any number of invariant rules is still an invariant rule, therefore the largest invariant rule is immediately identified as the union of all possible invariant rules..

Condition (6) is clearly connected with the intuitive concept of uniform treatment of all experimental results, and offers a much clearer indication than the equivalent scale–invariance requirement about how to construct in practice a satisfying confidence band.

It also appears as a natural extension of Neyman’s $`CL`$ concept, because it amounts to simply applying at local level the same requirement Neyman imposed on the observable space as a whole.

This fact suggest an alternative formulation: rather than regarding the (6) as a rule for identifying a particular subset of confidence bands, we can take this condition as a new, more restrictive, definition of limits within the classical framework (“Strong Confidence Limits”) and define a new quantity (“strong CL”, or “sCL”) in analogy with the usual $`CL`$ (eq. (1)):

$$sCL(B)=1\underset{\mu ,\chi }{sup}\frac{p(x\chi \mu B(x)|\mu )}{sup_\mu p(x\chi |\mu )}$$
(8)   
The strong CL is then a quantity that can be evaluated for a completely arbitrary band, just as the regular CL. Note that it is always $`sCLCL`$, in accordance with the greater strength of the concept.

## IV Properties of Strong Confidence Regions

The meaning of strong confidence can be summarized as follows: take a subsample of possible experimental results, however defined. While it is still not guaranteed that the probability for them to be correct is at least CL as with Bayesian methods, what we gained over Neyman’s CL is that, independently of the a–priori distribution of $`\mu `$, the number of wrong result is a small fraction of the maximum expected number of results of that kind. That is, there may be distributions for $`\mu `$ that lead to all results in that category to be false, but in that case those results will present themselves much more rarely than when they lead to correct conclusion, and this holds for all possible results in the same way. This is basically how far we can go within the classical framework in terms of getting “individually certified” resultsNote that, even if one assumes that a distribution of the parameter exists, a probability statement about each result is impossible to obtain in the classical framework without knowing the distribution (a priori), unless one chooses the trivial solution of the band covering the whole space..

The possibility of empty confidence regions is ruled out here in full generality, unlike the case of LR ordering: if there is a set $`\chi `$ of values for which the confidence region is empty, then obviously there exist a $`\mu `$ for which the ratio on left side of (6) is arbitrarily close to 1. Unless CL=0, that means the total probability of $`\chi `$ is identically zero for all $`\mu `$.

It is also easy to see that strong bands are stable for small perturbations of the pdf like those previously discussed in the examples. This is due to the fact that the requirements being made are based on integrals of the pdf rather than its punctual values. The integrals on all subsets that are not too small stay the same after the addition of perturbations of small total probability. The effect is only seen on small scales, and it just forces the addition of the small region where the perturbation is large to the unperturbed band.

### A Independence from change of variable

The above defined strong bands have another interesting property: they are invariant under any change of variable in $`x`$–space. This is obvious since the probabilities appearing in the ratio in (6) scale proportionally under any change of variable. We stressed before that the strength of the classical approach lies in its independence from metric in $`\mu `$–space, that is, in its equanimity with respect to every value of $`\mu `$, in contrast with the Bayesian approach where all values are explicitly weighted for relative a-priori importance.

It should be clear as well that the use of a particular metric of $`x`$ space in constructing a CR is a way to introduce a–priori discriminations between values of the $`x`$, that is, to introduce arbitrary (irrelevant) information in the choice of the confidence band, so it is not surprising that this invariance is a consequence of our approach.

Amongst all common rules for selecting CR, LR-ordering is the only one to be independent from transformations of $`x`$. The partial success of the LR ordering principle might in the end be traced back to its compliance with this requirement of independence from metric in $`x`$ space. In fact, the LR ordering rule is equivalent to the narrowest band in that particular metric in parameter space that makes the maximum likelihood value constant for all $`\mu `$.

We have seen, however, that while this property is desirable, and probably necessary for physically sensible results, it is not sufficient to ensure them.

### B Construction of Strong Confidence Regions

A simple and useful corollary of (6) is:

COROLLARY – If the observable is discreteIt does not hold in full generality for a continuous variable, since it is always possible to choose an arbitrary band for single isolated $`x`$ without affecting any of the formulas above, that always refer to events or set of events with of non-zero total probability. However, it is intuitively expected that it holds for continuous variables too, provided some regularity condition is asked, than for every value of $`x`$, any strong band always includes all values of $`\mu `$ such that $`p(x|\mu )>p(x|\widehat{\mu })(1sCL)`$.

PROOF: just put $`\chi =\{x\}`$ in (6).

This immediately shows another appealing feature of strong CL: it is forbidden to exclude any value of $`\mu `$ having a likelihood “close” to the max-likelihood value. Again, this is not a property of any other method (LR–ordering just tends to give such values somewhat high ranks, and $`\widehat{\mu }`$ gets the highest rank whenever it exists, but there is no guarantee on their actual inclusion in the band. Other rules do even less than that).

Note that, just as in Neyman’s CL, in a generic case there may be many different “legal” bands for a given pdf and sCL, therefore the question of the choice between them reappears. However, since there is now no fear of unreasonable results, the only reason for pinpointing a general and unique choice is just to prevent the possible distorted practice of choosing the band after the experiment, and the question is largely a matter of convenience. In order to be coherent with the spirit of the current approach, however, the choice must be formulated in such a way to be invariant under any transformation of $`x`$.

For instance, a good choice might be to minimize the coverage for every value of $`\mu `$ independently. This makes for the lowest possible CL for the given sCL. Conversely, the bands chosen in this way will have the highest sCL for a given CL. They can be considered with good reason the “best band” for a given CL, in case an experimenter wishes to fix the desired value of CL as usual, rather than the sCL. Obviously, if the maximum sCL corresponding to a given CL is small or even zero, that means no physically sensible band is possible without increasing the CL (that is,“overcovering” of all values of $`\mu `$ is necessary).

In practice the freedom of choice is often very limited, since the “core region” identified by the above corollary must be completely included by any legal strong band at the given sCL. That core region is defined only by the the pdf for the local values of $`x`$, therefore is not affected by changes in the pdf for other values.

The actual determination of the bands in other than the simplest cases requires numerical calculations. We now describe a simple algorithm to construct in practice a band satisfying the criteria.

In order to do numerical calculations, the pdf must be discretized if the parameter or the observable are continuous. This is achieved by sampling the parameter space with an N–dimensional grid, and splitting the space $`X`$ of the observable into a finite number of regions. Those regions are considered as possible discrete outcomes, and their probabilities are obtained by integrating the density $`p(x|\mu )`$ over each of the regions. In this way, a rectangular matrix is obtained, independently on the dimensionality of the $`x`$ and $`\mu `$ spaces, which may be both arbitrary-length vectors of numbers. This matrix is used as input in the following simple algorithm.

All intervals of $`x`$ are initially assigned to the rejected region, that is, the band is initialized to be empty. For each value of $`\mu `$, one loops over all possible sets composed of any number of the chosen $`x`$ regions. The condition (6) is checked on all sets in turn, and if found invalid, one of the regions in the current set is added to the confidence band, and removed from any further checks. The set of accepted regions obtained upon completion of this procedure for all values of $`\mu `$ is a strong band. The freedom in the choice of the region to be added to the band is what allows different solutions to be generated.

It is not obvious how to achieve the minimal coverage requirement suggested above within this stepwise procedure. There are however simple and reasonable recipes for performing the choice step of the algorithm. One can, for instance, systematically choose the lowest/highest $`x`$ to get the analogue of lower/upper limits in the standard approach, or choose the region with the highest value of the ratio tested by condition (6). The latter appears particularly natural and has the interesting characteristics of representing an extension of the LR–ordering rule to the sCL context, even if the result might be slightly dependent on the order in which the sets of regions are being checked by the algorithm.

### C Sample Applications

The definition of strong CL gives satisfying answers to all problems listed in Sec. II B.

In some cases the solution follows immediately from the corollary above.

One of them is the “indifferent” pdf, where the conclusion that no value of the parameter can be excluded, whatever the required sCL is immediately found, and it is stable for small perturbations of the pdf.

For the uniform distribution, the full range of $`\mu `$ for which $`L(\mu )>0`$ gets included, whatever the chosen $`sCL`$. This strong statement reflects the intuitive arbitrariness of any choice wishing to exclude some value of a parameter in favor of others having exactly the same likelihood. In fact, when a problem with uniform pdf is encountered, most physicists don’t even formulate a question of Confidence Limits, but just quote the absolute extrema of the allowed interval for $`\mu `$.

For the Poisson with background, it is easy to see that the result for the case of zero observed events will be independent of background. The probability of zero events is $`e^\mu e^b`$, so by changing the expected background $`b`$ one changes the likelihood by a simple multiplicative constant. From the definition of local scale invariance one has immediately that the limits for this case cannot depend on $`b`$. This statement needs a bit of clarification: we have remarked that the strong band is not uniquely identified in a general case, therefore one can make various choices. What is guaranteed here is that all possible choices for the limits from zero counts for a given value of $`b`$ are also acceptable choices for any other value of $`b`$. This does not imply that one must necessarily make the same choice in the two cases.

We have calculated the confidence limits in the special case of $`b`$=3.0 using the simple method outlined in the previous section, and compared the results with other classical methods in Table I. The upper, lower and the LR-ordering analogue choices mentioned above are shown. The intervals obtained are wider than with any other method.

This should not be considered a loss of power , but rather regarded as a reflection of the higher standards of quality required to the result. The parts of the band that would be excluded by other methods are here included just on the same basis that yields the correct conclusion for the zero–count case, and prevents crazy conclusions from indifferent distribution: their likelihood is not low enough with respect to the maximum value. These considerations suggest that one should not consider this widening of the band a loss of power unless one also considers a loss of power the inability to draw conclusions on the mass of neutrinos by throwing dice.

## V Summary

The current methods for determining classical Confidence Limits produce counter–intuitive results in a variety of situations. This includes the recent proposals based on Likelihood Ratio ordering, that is not immune from the problem of empty confidence regions.

By imposing the requirement that only the information contained in the shape of the Likelihood function be used in determining the limits, a stronger definition of classical limits is derived, which is a natural extension of the original Neyman’s condition.

This “strong confidence limits” turns out to be immune to the problem of empty accepted regions, and stable for small perturbations of the probability distribution, at the price of some widening of the usual limits.

###### Acknowledgements.

I wish to thank Luciano Ristori of Istituto Nazionale di Fisica Nucleare in Pisa for useful discussions and comments on the manuscript.