In statistics, a nuisance parameter is any parameter which is not of immediate interest but which must be accounted for in the analysis of those parameters which are of interest. The classic example of a nuisance parameter is the variance, σ2, of a normal distribution, when the mean, μ, is of primary interest.
Nuisance parameters are often variances, but not always; for example in an errors-in-variables model, the unknown true location of each observation is a nuisance parameter. In general, any parameter which intrudes on the analysis of another may be considered a nuisance parameter. A parameter may also cease to be a "nuisance" if it becomes the object of study, as the variance of a distribution may be.
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