Credible interval

Concept in Bayesian statistics

In Bayesian statistics, a credible interval is an interval used to characterize a probability distribution. It is defined such that an unobserved parameter value has a particular probability γ {\displaystyle \gamma } to fall within it. For example, in an experiment that determines the distribution of possible values of the parameter μ {\displaystyle \mu } , if the probability that μ {\displaystyle \mu } lies between 35 and 45 is γ = 0.95 {\displaystyle \gamma =0.95} , then 35 ≤ μ ≤ 45 {\displaystyle 35\leq \mu \leq 45} is a 95% credible interval.

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