A Unified Approach to the Classical Statistical Analysis of Small Signals

Feldman, Gary J.; Cousins, Robert D.

A Unified Approach to the Classical Statistical Analysis of Small Signals

Authors

Description

We give a classical confidence belt construction which unifies the treatment of upper confidence limits for null results and two-sided confidence intervals for non-null results. The unified treatment solves a problem (apparently not previously recognized) that the choice of upper limit or two-sided intervals leads to intervals which are not confidence intervals if the choice is based on the data. We apply the construction to two related problems which have recently been a battle-ground between classical and Bayesian statistics: Poisson processes with background, and Gaussian errors with a bounded physical region. In contrast with the usual classical construction for upper limits, our construction avoids unphysical confidence intervals. In contrast with some popular Bayesian intervals, our intervals eliminate conservatism (frequentist coverage greater than the stated confidence) in the Gaussian case and reduce it to a level dictated by discreteness in the Poisson case. We generalize the method in order to apply it to analysis of experiments searching for neutrino oscillations. We show that this technique both gives correct coverage and is powerful, while other classical techniques that have been used by neutrino oscillation search experiments fail one or both of these criteria.
40 pages, 15 figures. Changes 15-Dec-99 to agree more closely with published version. A few small changes, plus the two substantive changes we made in proof back in 1998: 1) The definition of "sensitivity" in Sec. V(C). It was inconsistent with our actual definition in Sec. VI. 2) "Note added in proof" at end of the Conclusion