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Informally, in frequentist statistics, a confidence interval (CI) is an interval which is expected to typically contain the parameter being estimated. More specifically, given a confidence level γ {\displaystyle \gamma } (95% and 99% are typical values), a CI is a random interval which contains the parameter being estimated γ {\displaystyle ...
Also confidence coefficient. A number indicating the probability that the confidence interval (range) captures the true population mean. For example, a confidence interval with a 95% confidence level has a 95% chance of capturing the population mean. Technically, this means that, if the experiment were repeated many times, 95% of the CIs computed at this level would contain the true population ...
Classically, a confidence distribution is defined by inverting the upper limits of a series of lower-sided confidence intervals. [15] [16] [page needed] In particular, For every α in (0, 1), let (−∞, ξ n (α)] be a 100α% lower-side confidence interval for θ, where ξ n (α) = ξ n (X n,α) is continuous and increasing in α for each sample X n.
which correspond to the above definition of CLs. The first equality just uses the definition of Conditional probability , and the second equality comes from the fact that if n ≤ n ∗ ⇒ n b ≤ n ∗ {\displaystyle n\leq n^{*}\Rightarrow n_{b}\leq n^{*}} and the number of background events is by definition independent of the signal strength.
Given a sample from a normal distribution, whose parameters are unknown, it is possible to give prediction intervals in the frequentist sense, i.e., an interval [a, b] based on statistics of the sample such that on repeated experiments, X n+1 falls in the interval the desired percentage of the time; one may call these "predictive confidence intervals".
In these hypothetical repetitions, independent data sets following the same probability distribution as the actual data are considered, and a confidence interval is computed from each of these data sets; see Neyman construction. The coverage probability is the fraction of these computed confidence intervals that include the desired but ...
Ci – cosine integral function. cis – cos + i sin function. (Also written as expi.) Cl – conjugacy class. cl – topological closure. CLT – central limit theorem. cod, codom – codomain. cok, coker – cokernel. colsp – column space of a matrix. conv – convex hull of a set. Cor – corollary. corr – correlation. cos – cosine ...
For the case of a single parameter and data that can be summarised in a single sufficient statistic, it can be shown that the credible interval and the confidence interval coincide if the unknown parameter is a location parameter (i.e. the forward probability function has the form (|) = ()), with a prior that is a uniform flat distribution; [6 ...