In Bayesian statistics, a credible interval (or Bayesian confidence interval) is an interval in the domain of a posterior probability distribution used for interval estimation. The generalisation to multivariate problems is the credible region. Credible intervals are analogous to confidence intervals in frequentist statistics.
For example, in an experiment that determines the uncertainty distribution of parameter , if the probability that lies between 35 and 45 is 0.95, then is a 95% credible interval.
Choosing a credible interval
Credible intervals are not unique on a posterior distribution. Methods for defining a suitable credible interval include:
- Choosing the narrowest interval, which for a unimodal distribution will involve choosing those values of highest probability density including the mode.
- Choosing the interval where the probability of being below the interval is as likely as being above it. This interval will include the median.
- Assuming the mean exists, choosing the interval for which the mean is the central point.
Contrasts with confidence interval
A frequentist 95% confidence interval of 35–45 means that with a large number of repeated samples, 95% of the calculated confidence intervals would include the true value of the parameter. The probability that the parameter is inside the given interval (say, 35–45) is either 0 or 1 (the non-random unknown parameter is either there or not). In frequentist terms, the parameter is fixed (cannot be considered to have a distribution of possible values) and the confidence interval is random (as it depends on the random sample). Antelman (1997, p. 375) summarizes a confidence interval as "... one interval generated by a procedure that will give correct intervals 95 % of the time".
In general, Bayesian credible intervals do not coincide with frequentist confidence intervals for two reasons:
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 will 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; and also if the unknown parameter is a scale parameter (i.e. the forward probability function has the form ), with a Jeffreys' prior  — the latter following because taking the logarithm of such a scale parameter turns it into a location parameter with a uniform distribution. But these are distinctly special (albeit important) cases; in general no such equivalence can be made.
- Edwards, W., Lindman, H., Savage, L.J. (1963) "Bayesian statistical inference in statistical research". Psychological Review, 70, 193-242
- Lee, P.M. (1997) Bayesian Statistics: An Introduction, Arnold. ISBN 0-340-67785-6
- O'Hagan, A. (1994) Kendall's Advance Theory of Statistics, Vol 2B, Bayesian Inference, Section 2.51. Arnold, ISBN 0-340-52922-9
- Antelman, G. (1997) Elementary Bayesian Statistics (Madansky, A. & McCulloch, R. eds.). Cheltenham, UK: Edward Elgar ISBN 978-1-85898-504-6
- Jaynes, E. T. (1976). "Confidence Intervals vs Bayesian Intervals", in Foundations of Probability Theory, Statistical Inference, and Statistical Theories of Science, (W. L. Harper and C. A. Hooker, eds.), Dordrecht: D. Reidel, pp. 175 et seq