Universal confidence interval
( go to the article → https://www.johndcook.com/blog/2021/05/07/universal-confidence-interval/ )
Here’s a way to find a 95% confidence interval for any parameter θ. With probability 0.95, return the real line. With probability 0.05, return the empty set. Clearly 95% of the time this procedure will return an interval that contains θ. This example shows the difference between a confidence interval and a credible interval. A […] The post Universal confidence interval first appeared on John D. Cook.
May 7, 2021, 7:17 p.m.