  The experimental issue of the search for new particles of unknown mass poses
the challenge of exploring a wide interval to look for the usual signatures
represented by excess of events above the background. A side effect of such a
broad range quest is that the significance calculations valid for signals of
known location are no more applicable when such an information is missing. This
circumstance is commonly termed in high energy physics applications as the look
elsewhere effect. How it concretely manifests in a specific problem of signal
search depends upon the particular strategy adopted to unravel the sought-after
signal from the underlying background. In this respect an increasingly popular
method is the profile likelihood ratio, especially because of its asymptotic
behavior dictated by one of the most famous statistic result, the Wilks'
theorem. This work is centered on the description of the look elsewhere effect
in the framework of the profile likelihood methodology, in particular proposing
a conjecture about the distribution of the likelihood ratio under the null
hypothesis of absence of the signal over the searched mass interval, a
condition which is known to violate the conditions of the Wilks' theorem.
Several Monte Carlo tests to support the conjecture are presented, as well.
