A parameter that must be estimated, even though it is of no immediate interest. The most familiar example occurs in the construction of a confidence interval for an estimate of a population mean. The sample mean is the obvious estimate, but the population variance is a nuisance parameter that must also be estimated in order to determine the size of the interval. The term ‘nuisance parameter’ first appeared in a 1940 paper by Hotelling.
Subjects: Probability and Statistics.