nuisance parameter

Noun

nuisance parameter (plural nuisance parameters)

1. A parameter of the distribution of a population that is not directly relevant to solving the significance test or estimate problem under consideration.
   • [T]esting for the null hypothesis […] is subject to the problem of a nuisance parameter that is present only under the alternative, which makes standard asymptotic inference invalid[.]2023, Florens Odendahl, Barbara Rossi, Tatevik Sekhposyan, “Evaluating forecast performance with state dependence”, in Journal of Econometrics, number 237, page 5 of 31
   • For instance, applications require to specify the number of hidden layers [of a neural network], the number of neurons, the form of the activation function, the algorithm, as well as associated nuisance parameters used for training the models.2025, Niko Hauzenberger, Florian Huber, Karin Klieber, Massimiliano Marcellino, “Bayesian neural networks for macroeconomic analysis”, in Journal of Econometrics, number 249