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Credible interval

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In Bayesian statistics, a credible interval is an interval within which an unobserved parameter value falls with a particular probability. It is an interval in the domain of a posterior probability distribution or a predictive distribution. The generalisation to multivariate problems is the credible region. Credible intervals are analogous to confidence intervals in frequentist statistics, although they differ on a philosophical basis: Bayesian intervals treat their bounds as fixed and the estimated parameter as a random variable, whereas frequentist confidence intervals treat their bounds as random variables and the parameter as a fixed value. Also, Bayesian credible intervals use (and indeed, require) knowledge of the situation-specific prior distribution, while the frequentist confidence intervals do not.

Credible interval - Wikipedia Jump to content From Wikipedia, the free encyclopedia Concept in Bayesian statistics The 90%-smallest credible interval of a distribution is the smallest interval that contains 90% of the distribution mass. Part of a series on Bayesian statistics Posterior = Likelihood × Prior ÷ Evidence Background Bayesian inference Bayesian probability Bayes' theorem Bernstein–von Mises theorem Coherence Cox's theorem Cromwell's rule Likelihood principle Principle of indifference Principle of maximum entropy Model building Conjugate prior Linear regression Empirical Bayes Hierar

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