Confidence interval vs credible interval

Question

A 95% confidence interval and a 95% credible interval both report a range for a parameter. Explain precisely what each one means, why they are not the same statement, and when they happen to coincide.

Accepted Answer

What a confidence interval means (frequentist). The parameter 	heta is a fixed unknown constant; the interval is random, because it is computed from random data. A procedure that produces "95% confidence intervals" has the property that, over many repeated samples, 95\% of the intervals it generates will contain the true 	heta. The guarantee attaches to the method, not to any single interval. Once you have a specific interval like [1.2, 3.4], it either contains 	heta or it does not, there is no "95\% probability 	heta is in here" in the frequentist framework, because 	heta is not random.…

Confidence interval vs credible interval

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