Confidence interval
Encyclopedia
In statistics
, a confidence interval (CI) is a particular kind of interval estimate
of a population parameter and is used to indicate the reliability of an estimate. It is an observed interval (i.e. it is calculated from the observations), in principle different from sample to sample, that frequently includes the parameter of interest, if the experiment is repeated. How frequently the observed interval contains the parameter is determined by the confidence level or confidence coefficient.
A confidence interval with a particular confidence level is intended to give the assurance that, if the statistical model is correct, then taken over all the data that might have been obtained, the procedure for constructing the interval would deliver a confidence interval that included the true value of the parameter the proportion of the time set by the confidence level. More specifically, the meaning of the term "confidence level" is that, if confidence intervals are constructed across many separate data analyses of repeated (and possibly different) experiments, the proportion of such intervals that contain the true value of the parameter will approximately match the confidence level; this is guaranteed by the reasoning underlying the construction of confidence intervals.
A confidence interval does not predict that the true value of the parameter has a particular probability of being in the confidence interval given the data actually obtained. (An interval intended to have such a property, called a credible interval
, can be estimated using Bayesian
methods; but such methods bring with them their own distinct strengths and weaknesses).
For example, a confidence interval can be used to describe how reliable survey results are. In a poll of election voting-intentions, the result might be that 40% of respondents intend to vote for a certain party. A 90% confidence interval for the proportion in the whole population having the same intention on the survey date might be 38% to 42%. From the same data one may calculate a 95% confidence interval, which might in this case be 36% to 44%. A major factor determining the length of a confidence interval is the size of the sample
used in the estimation procedure, for example the number of people taking part in a survey.
. For example, if for some estimated parameter θ one wants to test the null hypothesis
that θ = 0 against the alternative that θ ≠ 0, then this test can be performed by determining whether the confidence interval for θ contains 0.
More generally, given the availability of a hypothesis testing procedure that can test the null hypothesis θ = θ0 against the alternative that θ ≠ θ0 for any value of θ0, then a confidence interval with confidence level γ = 1 − α can be defined as containing any number θ0 for which the corresponding null hypothesis is not rejected at significance level α.
In consequence, if the estimates of two parameters (for example, the mean values of a variable in two independent groups of objects) have confidence intervals at a given γ value that do not overlap, then the difference between the two values is significant
at the corresponding value of α. However, this test is too conservative. If two confidence intervals overlap, the difference between the two means still may be significantly different.
s generalize the confidence interval concept to deal with multiple quantities. Such regions can indicate not only the extent of likely sampling error
s but can also reveal whether (for example) it is the case that if the estimate for one quantity is unreliable then the other is also likely to be unreliable. See also confidence band
s.
In applied practice, confidence intervals are typically stated at the 95% confidence level. However, when presented graphically, confidence intervals can be shown at several confidence levels, for example 50%, 95% and 99%.
from a probability distribution
with parameter
s θ, which is a quantity to be estimated, and φ, representing quantities not of immediate interest. A confidence interval for the parameter θ, with confidence level or confidence coefficient γ, is an interval with random endpoints
, determined by the pair of statistics (i.e., observable random variable
s)
and 
, with the property:
The quantities φ in which there is no immediate interest are called nuisance parameters, as statistical theory still needs to find some way to deal with them.
The number γ, with typical values close to but not greater than 1, is sometimes given in the form 1 − α (or as a percentage 100%·(1 − α)), where α is a small nonnegative number, close to 0.
Here Prθ,φ is used to indicate the probability when the random variable X has the distribution characterised by (θ, φ). An important part of this specification is that the random interval (U, V) covers the unknown value θ with a high probability no matter what the true value of θ actually is.
Note that here Prθ,φ need not refer to an explicitly given parameterised family of distributions, although it often does. Just as the random variable X notionally corresponds to other possible realizations of x from the same population or from the same version of reality, the parameters (θ, φ) indicate that we need to consider other versions of reality in which the distribution of X might have different characteristics.
In a specific situation, when x is the outcome of the sample X, the interval
is also referred to as a confidence interval for θ. Note that it is no longer possible to say that the (observed) interval 
has probability γ to contain the parameter θ. This observed interval is just one realization of all possible intervals for which the probability statement holds.
. For this, consider an additional single-valued random variable Y which may or may not be statistically dependent on X. Then the rule for constructing the interval (u(x), v(x)) provides a confidence interval for the as-yet-to-be observed value y of Y if
Here Prθ,φ is used to indicate the probability over the joint distribution of the random variables (X, Y) when this is characterised by parameters (θ, φ).
and the rule for constructing the interval may be accepted as providing a confidence interval if
to an acceptable level of approximation.
. Using much of the same notation as above, the definition of a credible interval for the unknown true value of θ is, for a given α,
Here Θ is used to emphasize that the unknown value of θ is being treated as a random variable. The definitions of the two types of intervals may be compared as follows.
Note that the treatment of the nuisance parameters above is often omitted from discussions comparing confidence and credible intervals but it is markedly different between the two cases.
In some simple standard cases, the intervals produced as confidence and credible intervals from the same data set can be identical. They are very different if informative prior information is included in the Bayesian analysis; and may be very different for some parts of the space of possible data even if the Bayesian prior is relatively uninformative.
of the quantity being considered.
Statistics: This is closely related to the method of moments for estimation. A simple example arises where the quantity to be estimated is the mean, in which case a natural estimate is the sample mean. The usual arguments indicate that the sample variance can be used to estimate the variance of the sample mean. A naive confidence interval for the true mean can be constructed centered on the sample mean with a width which is a multiple of the square root of the sample variance.
Likelihood theory: Where estimates are constructed using the maximum likelihood principle, the theory for this provides two ways of constructing confidence intervals or confidence regions for the estimates.
Estimating equations: The estimation approach here can be considered as both a generalization of the method of moments and a generalization of the maximum likelihood approach. There are corresponding generalizations of the results of maximum likelihood theory that allow confidence intervals to be constructed based on estimates derived from estimating equations
.
Via significance testing: If significance tests are available for general values of a parameter, then confidence intervals/regions can be constructed by including in the 100p% confidence region all those points for which the significance test of the null hypothesis that the true value is the given value is not rejected at a significance level of (1-p).
Bootstrapping
: In situations where the distributional assumptions for that above methods are uncertain or violated, resampling methods allow construction of confidence intervals or prediction intervals. The observed data distribution and the internal correlations are used as the surrogate for the correlations in the wider population.
of 2.5 g. To determine if the machine is adequately calibrated, a sample of n = 25 cups of margarine is chosen at random and the cups are weighed. The resulting measured masses of margarine are X1, ..., X25, a random sample from X.
To get an impression of the expectation μ, it is sufficient to give an estimate. The appropriate estimator
is the sample mean:
The sample shows actual weights x1, ..., x25, with mean:
If we take another sample of 25 cups, we could easily expect to find mass values like 250.4 or 251.1 grams. A sample mean value of 280 grams however would be extremely rare if the mean content of the cups is in fact close to 250 grams. There is a whole interval around the observed value 250.2 grams of the sample mean within which, if the whole population mean actually takes a value in this range, the observed data would not be considered particularly unusual. Such an interval is called a confidence interval for the parameter μ. How do we calculate such an interval? The endpoints of the interval have to be calculated from the sample, so they are statistics, functions of the sample X1, ..., X25 and hence random variables themselves.
In our case we may determine the endpoints by considering that the sample mean from a normally distributed sample is also normally distributed, with the same expectation μ, but with a standard error
of:
By standardizing, we get a random variable
dependent on the parameter μ to be estimated, but with a standard normal distribution independent of the parameter μ. Hence it is possible to find numbers −z and z, independent of μ, between which Z lies with probability 1 − α, a measure of how confident we want to be. We take 1 − α = 0.95. So we have:
The number z follows from the cumulative distribution function
, in this case the cumulative normal distribution function:
and we get:
This might be interpreted as: with probability 0.95 we will find a confidence interval in which we will meet the parameter μ between the stochastic endpoints
and
This does not mean that there is 0.95 probability of meeting the parameter μ in the calculated interval. Every time the measurements are repeated, there will be another value for the mean of the sample. In 95% of the cases μ will be between the endpoints calculated from this mean, but in 5% of the cases it will not be. The actual confidence interval is calculated by entering the measured masses in the formula. Our 0.95 confidence interval becomes:
As the desired value 250 of μ is within the resulted confidence interval, there is no reason to believe the machine is wrongly calibrated.
The calculated interval has fixed endpoints, where μ might be in between (or not). Thus this event has probability either 0 or 1. One cannot say: "with probability (1 − α) the parameter μ lies in the confidence interval." One only knows that by repetition in 100(1 − α) % of the cases, μ will be in the calculated interval. In 100α % of the cases however it does not. And unfortunately one does not know in which of the cases this happens. That is why one can say: "with confidence level 100(1 − α) %, μ lies in the confidence interval."
The figure on the right shows 50 realizations of a confidence interval for a given population mean μ. If we randomly choose one realization, the probability is 95% we end up having chosen an interval that contains the parameter; however we may be unlucky and have picked the wrong one. We will never know; we are stuck with our interval.
sample from a normally distributed population with (parameters) mean
μ and variance
σ2. Let
be the well known statistic
s, sample mean and sample variance. Then
has a Student's t-distribution with n − 1 degrees of freedom. Note that the distribution of T does not depend on the values of the unobservable parameters μ and σ2; i.e., it is a pivotal quantity
. Suppose we wanted to calculate a 90% confidence interval for μ. Then, denoting c as the 95th percentile
of this distribution,
(Note: "95th" and "0.9" are correct in the preceding expressions. There is a 5% chance that T will be less than −c and a 5% chance that it will be larger than +c. Thus, the probability that T will be between −c and +c is 90%.)
Consequently
and we have a theoretical (stochastic) 90% confidence interval for μ.
After observing the sample we find values for and s for S, from which we compute the confidence interval
an interval with fixed numbers as endpoints, of which we can no longer say there is a certain probability it contains the parameter μ; either μ is in this interval or isn't.
are distinct they are in some senses related and to some extent complementary. While not all confidence intervals are constructed in this way, one general purpose approach to constructing confidence intervals is to define a 100(1 − α)% confidence interval to consist of all those values θ0 for which a test of the hypothesis θ = θ0 is not rejected at a significance level of 100α%. Such an approach may not always be available since it presupposes the practical availability of an appropriate significance test. Naturally, any assumptions required for the significance test would carry over to the confidence intervals.
It may be convenient to make the general correspondence that parameter values within a confidence interval are equivalent to those values that would not be rejected by an hypothesis test, but this would be dangerous. In many instances the confidence intervals that are quoted are only approximately valid, perhaps derived from "plus or minus twice the standard error", and the implications of this for the supposedly corresponding hypothesis tests are usually unknown.
In each of the above, the following applies: If the true value of the parameter lies outside the 90% confidence interval once it has been calculated, then an event has occurred which had a probability of 10% (or less) of happening by chance.
In common usage, a claim to 95% confidence in something is normally taken as indicating virtual certainty. In statistics, a claim to 95% confidence simply means that the researcher has seen something occur that happens only one time in 20 or less. If one were to roll two dice and get double six (which happens 1/36th of the time, or about 3%), few would claim this as proof that the dice were fixed, although statistically speaking one could have 97% confidence that they were. Similarly, the finding of a statistical link at 95% confidence is not proof, nor even very good evidence, that there is any real connection between the things linked.
When a study involves multiple statistical tests, people tend to assume that the confidence associated with individual tests is the confidence one should have in the results of the study itself. In fact, the results of all the statistical tests conducted during a study must be judged as a whole in determining what confidence one may place in the positive links it produces. For example, say a study is conducted which involves 40 statistical tests at 95% confidence, and which produces 3 positive results. Each test has a 5% chance of producing a false positive, so such a study will produce 3 false positives about two times in three. Thus the confidence one can have that any of the study's positive conclusions are correct is only about 32%, well below the 95% the researchers have set as their standard of acceptance.
, and the most widely used in frequentist statistics.
An analogous concept in Bayesian statistics
is credible interval
s,
while an alternative frequentist method is that of prediction interval
s which, rather than estimating parameters, estimate the outcome of future samples. For other approaches to expressing uncertainty using intervals, see interval estimation
.
There is disagreement about which of these methods produces the most useful results: the mathematics of the computations are rarely in question – confidence intervals being based on sampling distributions, credible intervals being based on Bayes' theorem
– but the application of these methods, the utility and interpretation of the produced statistics, is debated.
Users of Bayesian methods, if they produced an interval estimate
, would in contrast to confidence intervals, want to say "My degree of belief that the parameter is in fact in this interval is 90%," while users of prediction intervals would instead say "I predict that the next sample will fall in this interval 90% of the time."
Confidence intervals are an expression of probability and are subject to the normal laws of probability. If several statistics are presented with confidence intervals, each calculated separately on the assumption of independence, that assumption must be honoured or the calculations will be rendered invalid. For example, if a researcher generates a set of statistics with intervals and selects some of them as significant, the act of selecting invalidates the calculations used to generate the intervals.
of how to deal with the uncertainty inherent in results derived from data that are themselves only a randomly selected subset of an entire statistical population of possible datasets. There are other answers, notably that provided by Bayesian inference
in the form of credible intervals. The idea of confidence intervals is that they correspond to a chosen rule for determining the confidence bounds, where this rule is essentially determined before any data are obtained, or before an experiment is done. The criterion for choosing this rule is that, over all possible datasets that might be obtained, there is a high probability that the interval determined by the rule will include the true value of the quantity under consideration. That is a fairly straightforward and reasonable way of specifying a rule for determining uncertainty intervals. The Bayesian approach appears to offer intervals that can, subject to acceptance of an interpretation of "probability" as Bayesian probability
, be interpreted as meaning that the specific interval calculated from a given dataset has a certain probability of including the true value, conditional on the data and other information available. The confidence interval approach does not allow this, since in this formulation and at this same stage, both the bounds of interval and the true values are fixed values and there is no randomness involved.
For example, in the poll example outlined in the introduction, one common-sense interpretation of a "95% interval" might be that readers of this information can be 95% confident that the actual number of voters intending to vote for the party in question is between 36% to 44%. However, this is technically incorrect. The actual meaning of confidence levels and confidence intervals is rather more subtle. In the above case, a correct interpretation would be as follows: If the polling were repeated a large number of times (you could produce a 95% confidence interval for your polling confidence interval), each time generating about a 95% confidence interval from the poll sample, then approximately 95% of the generated intervals would contain the true percentage of voters who intend to vote for the given party. Each time the polling is repeated, a different confidence interval is produced; hence, it is not possible to make absolute statements about probabilities for any one given interval. For more information, see the section on meaning and interpretation.
The questions of how an interval expressing uncertainty in an estimate might be formulated, and of how such intervals might be interpreted, are not strictly mathematical problems and are philosophically problematic. Mathematics can take over once the basic principles of an approach to inference have been established, but it has only a limited role in saying why one approach should be preferred to another.
, if the sample size
s and counts are big enough. The formulae are identical to the case above (where the sample mean is actually normally distributed about the population mean). The approximation will be quite good with only a few dozen observations in the sample if the probability distribution
of the random variable is not too different from the normal distribution (e.g. its cumulative distribution function
does not have any discontinuities and its skewness
is moderate).
One type of sample mean is the mean of an indicator variable, which takes on the value 1 for true and the value 0 for false. The mean of such a variable is equal to the proportion that have the variable equal to one (both in the population and in any sample). This is a useful property of indicator variables, especially for hypothesis testing. To apply the central limit theorem
, one must use a large enough sample. A rough rule of thumb is that one should see at least 5 cases in which the indicator is 1 and at least 5 in which it is 0. Confidence intervals constructed using the above formulae may include negative numbers or numbers greater than 1, but proportions obviously cannot be negative or exceed 1. Additionally, sample proportions can only take on a finite number of values, so the central limit theorem
and the normal distribution are not the best tools for building a confidence interval. See "Binomial proportion confidence interval
" for better methods which are specific to this case.
Statistics
Statistics is the study of the collection, organization, analysis, and interpretation of data. It deals with all aspects of this, including the planning of data collection in terms of the design of surveys and experiments....
, a confidence interval (CI) is a particular kind of interval estimate
Interval estimation
In statistics, interval estimation is the use of sample data to calculate an interval of possible values of an unknown population parameter, in contrast to point estimation, which is a single number. Neyman identified interval estimation as distinct from point estimation...
of a population parameter and is used to indicate the reliability of an estimate. It is an observed interval (i.e. it is calculated from the observations), in principle different from sample to sample, that frequently includes the parameter of interest, if the experiment is repeated. How frequently the observed interval contains the parameter is determined by the confidence level or confidence coefficient.
A confidence interval with a particular confidence level is intended to give the assurance that, if the statistical model is correct, then taken over all the data that might have been obtained, the procedure for constructing the interval would deliver a confidence interval that included the true value of the parameter the proportion of the time set by the confidence level. More specifically, the meaning of the term "confidence level" is that, if confidence intervals are constructed across many separate data analyses of repeated (and possibly different) experiments, the proportion of such intervals that contain the true value of the parameter will approximately match the confidence level; this is guaranteed by the reasoning underlying the construction of confidence intervals.
A confidence interval does not predict that the true value of the parameter has a particular probability of being in the confidence interval given the data actually obtained. (An interval intended to have such a property, called a credible interval
Credible interval
In Bayesian statistics, a credible 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...
, can be estimated using Bayesian
Bayesian statistics
Bayesian statistics is that subset of the entire field of statistics in which the evidence about the true state of the world is expressed in terms of degrees of belief or, more specifically, Bayesian probabilities...
methods; but such methods bring with them their own distinct strengths and weaknesses).
Conceptual basis
Introduction
Interval estimates can be contrasted with point estimates. A point estimate is a single value given as the estimate of a population parameter that is of interest, for example the mean of some quantity. An interval estimate specifies instead a range within which the parameter is estimated to lie. Confidence intervals are commonly reported in tables or graphs along with point estimates of the same parameters, to show the reliability of the estimates.For example, a confidence interval can be used to describe how reliable survey results are. In a poll of election voting-intentions, the result might be that 40% of respondents intend to vote for a certain party. A 90% confidence interval for the proportion in the whole population having the same intention on the survey date might be 38% to 42%. From the same data one may calculate a 95% confidence interval, which might in this case be 36% to 44%. A major factor determining the length of a confidence interval is the size of the sample
Sample size
Sample size determination is the act of choosing the number of observations to include in a statistical sample. The sample size is an important feature of any empirical study in which the goal is to make inferences about a population from a sample...
used in the estimation procedure, for example the number of people taking part in a survey.
Statistical hypothesis testing
Confidence intervals are closely related to statistical significance testingStatistical hypothesis testing
A statistical hypothesis test is a method of making decisions using data, whether from a controlled experiment or an observational study . In statistics, a result is called statistically significant if it is unlikely to have occurred by chance alone, according to a pre-determined threshold...
. For example, if for some estimated parameter θ one wants to test the null hypothesis
Null hypothesis
The practice of science involves formulating and testing hypotheses, assertions that are capable of being proven false using a test of observed data. The null hypothesis typically corresponds to a general or default position...
that θ = 0 against the alternative that θ ≠ 0, then this test can be performed by determining whether the confidence interval for θ contains 0.
More generally, given the availability of a hypothesis testing procedure that can test the null hypothesis θ = θ0 against the alternative that θ ≠ θ0 for any value of θ0, then a confidence interval with confidence level γ = 1 − α can be defined as containing any number θ0 for which the corresponding null hypothesis is not rejected at significance level α.
In consequence, if the estimates of two parameters (for example, the mean values of a variable in two independent groups of objects) have confidence intervals at a given γ value that do not overlap, then the difference between the two values is significant
Statistical significance
In statistics, a result is called statistically significant if it is unlikely to have occurred by chance. The phrase test of significance was coined by Ronald Fisher....
at the corresponding value of α. However, this test is too conservative. If two confidence intervals overlap, the difference between the two means still may be significantly different.
Confidence region
Confidence regionConfidence region
In statistics, a confidence region is a multi-dimensional generalization of a confidence interval. It is a set of points in an n-dimensional space, often represented as an ellipsoid around a point which is an estimated solution to a problem, although other shapes can occur.The confidence region is...
s generalize the confidence interval concept to deal with multiple quantities. Such regions can indicate not only the extent of likely sampling error
Sampling error
-Random sampling:In statistics, sampling error or estimation error is the error caused by observing a sample instead of the whole population. The sampling error can be found by subtracting the value of a parameter from the value of a statistic...
s but can also reveal whether (for example) it is the case that if the estimate for one quantity is unreliable then the other is also likely to be unreliable. See also confidence band
Confidence band
A confidence band is used in statistical analysis to represent the uncertainty in an estimate of a curve or function based on limited or noisy data. Confidence bands are often used as part of the graphical presentation of results in a statistical analysis...
s.
In applied practice, confidence intervals are typically stated at the 95% confidence level. However, when presented graphically, confidence intervals can be shown at several confidence levels, for example 50%, 95% and 99%.
Definition
Let X be a random sampleRandom sample
In statistics, a sample is a subject chosen from a population for investigation; a random sample is one chosen by a method involving an unpredictable component...
from a probability distribution
Probability distribution
In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....
with parameter
Parameter
Parameter from Ancient Greek παρά also “para” meaning “beside, subsidiary” and μέτρον also “metron” meaning “measure”, can be interpreted in mathematics, logic, linguistics, environmental science and other disciplines....
s θ, which is a quantity to be estimated, and φ, representing quantities not of immediate interest. A confidence interval for the parameter θ, with confidence level or confidence coefficient γ, is an interval with random endpoints
, determined by the pair of statistics (i.e., observable random variableRandom variable
In probability and statistics, a random variable or stochastic variable is, roughly speaking, a variable whose value results from a measurement on some type of random process. Formally, it is a function from a probability space, typically to the real numbers, which is measurable functionmeasurable...
s)
and , with the property:The quantities φ in which there is no immediate interest are called nuisance parameters, as statistical theory still needs to find some way to deal with them.
The number γ, with typical values close to but not greater than 1, is sometimes given in the form 1 − α (or as a percentage 100%·(1 − α)), where α is a small nonnegative number, close to 0.
Here Prθ,φ is used to indicate the probability when the random variable X has the distribution characterised by (θ, φ). An important part of this specification is that the random interval (U, V) covers the unknown value θ with a high probability no matter what the true value of θ actually is.
Note that here Prθ,φ need not refer to an explicitly given parameterised family of distributions, although it often does. Just as the random variable X notionally corresponds to other possible realizations of x from the same population or from the same version of reality, the parameters (θ, φ) indicate that we need to consider other versions of reality in which the distribution of X might have different characteristics.
In a specific situation, when x is the outcome of the sample X, the interval
is also referred to as a confidence interval for θ. Note that it is no longer possible to say that the (observed) interval has probability γ to contain the parameter θ. This observed interval is just one realization of all possible intervals for which the probability statement holds.Intervals for random outcomes
Confidence intervals can be defined for random quantities as well as for fixed quantities as in the above. See prediction intervalPrediction interval
In statistical inference, specifically predictive inference, a prediction interval is an estimate of an interval in which future observations will fall, with a certain probability, given what has already been observed...
. For this, consider an additional single-valued random variable Y which may or may not be statistically dependent on X. Then the rule for constructing the interval (u(x), v(x)) provides a confidence interval for the as-yet-to-be observed value y of Y if
Here Prθ,φ is used to indicate the probability over the joint distribution of the random variables (X, Y) when this is characterised by parameters (θ, φ).
Approximate confidence intervals
For non-standard applications it is sometimes not possible to find rules for constructing confidence intervals that have exactly the required properties. But practically useful intervals can still be found. The coverage probability c(θ, φ) for a random interval is defined byand the rule for constructing the interval may be accepted as providing a confidence interval if
to an acceptable level of approximation.
Comparison to Bayesian interval estimates
A Bayesian interval estimate is called a credible intervalCredible interval
In Bayesian statistics, a credible 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...
. Using much of the same notation as above, the definition of a credible interval for the unknown true value of θ is, for a given α,
Here Θ is used to emphasize that the unknown value of θ is being treated as a random variable. The definitions of the two types of intervals may be compared as follows.
- The definition of a confidence interval involves probabilities calculated from the distribution of X for given (θ, φ) (or conditional on these values) and the condition needs to hold for all values of (θ, φ).
- The definition of a credible interval involves probabilities calculated from the distribution of Θ conditional on the observed values of X = x and marginalised (or averaged) over the values of Φ, where this last quantity is the random variable corresponding to the uncertainty about the nuisance parameters in φ.
Note that the treatment of the nuisance parameters above is often omitted from discussions comparing confidence and credible intervals but it is markedly different between the two cases.
In some simple standard cases, the intervals produced as confidence and credible intervals from the same data set can be identical. They are very different if informative prior information is included in the Bayesian analysis; and may be very different for some parts of the space of possible data even if the Bayesian prior is relatively uninformative.
Desirable properties
When applying standard statistical procedures, there will often be standard ways of constructing confidence intervals. These will have been devised so as to meet certain desirable properties, which will hold given that the assumptions on which the procedure rely are true. These desirable properties may be described as: validity, optimality and invariance. Of these "validity" is most important, followed closely by "optimality". "Invariance" may be considered as a property of the method of derivation of a confidence interval rather than of the rule for constructing the interval. In non-standard applications, the same desirable properties would be sought.- Validity. This means that the nominal coverage probability (confidence level) of the confidence interval should hold, either exactly or to a good approximation.
- Optimality. This means that the rule for constructing the confidence interval should make as much use of the information in the data-set as possible. Recall that one could throw away half of a dataset and still be able to derive a valid confidence interval. One way of assessing optimality is by the length of the interval, so that a rule for constructing a confidence interval is judged better than another if it leads to intervals whose lengths are typically shorter.
- Invariance. In many applications the quantity being estimated might not be tightly defined as such. For example, a survey might result in an estimate of the median income in a population, but it might equally be considered as providing an estimate of the logarithm of the median income, given that this is a common scale for presenting graphical results. It would be desirable that the method used for constructing a confidence interval for the median income would give equivalent results when applied to constructing a confidence interval for the logarithm of the median income: specifically the values at the ends of the latter interval would be the logarithms of the values at the ends of former interval.
Methods of derivation
For non-standard applications, there are several routes that might be taken to derive a rule for the construction of confidence intervals. Established rules for standard procedures might be justified or explained via several of these routes. Typically a rule for constructing confidence intervals is closely tied to a particular way of finding a point estimatePoint estimation
In statistics, point estimation involves the use of sample data to calculate a single value which is to serve as a "best guess" or "best estimate" of an unknown population parameter....
of the quantity being considered.
Statistics: This is closely related to the method of moments for estimation. A simple example arises where the quantity to be estimated is the mean, in which case a natural estimate is the sample mean. The usual arguments indicate that the sample variance can be used to estimate the variance of the sample mean. A naive confidence interval for the true mean can be constructed centered on the sample mean with a width which is a multiple of the square root of the sample variance.
Likelihood theory: Where estimates are constructed using the maximum likelihood principle, the theory for this provides two ways of constructing confidence intervals or confidence regions for the estimates.
Estimating equations: The estimation approach here can be considered as both a generalization of the method of moments and a generalization of the maximum likelihood approach. There are corresponding generalizations of the results of maximum likelihood theory that allow confidence intervals to be constructed based on estimates derived from estimating equations
Estimating equations
In statistics, the method of estimating equations is a way of specifying how the parameters of a statistical model should be estimated. This can be thought of as a generalisation of many classical methods --- the method of moments, least squares, and maximum likelihood --- as well as some recent...
.
Via significance testing: If significance tests are available for general values of a parameter, then confidence intervals/regions can be constructed by including in the 100p% confidence region all those points for which the significance test of the null hypothesis that the true value is the given value is not rejected at a significance level of (1-p).
Bootstrapping
Bootstrapping (statistics)
In statistics, bootstrapping is a computer-based method for assigning measures of accuracy to sample estimates . This technique allows estimation of the sample distribution of almost any statistic using only very simple methods...
: In situations where the distributional assumptions for that above methods are uncertain or violated, resampling methods allow construction of confidence intervals or prediction intervals. The observed data distribution and the internal correlations are used as the surrogate for the correlations in the wider population.
Practical example
A machine fills cups with margarine, and is supposed to be adjusted so that the content of the cups is 250 g of margarine. As the machine cannot fill every cup with exactly 250 g, the content added to individual cups shows some variation, and is considered a random variable X. This variation is assumed to be normally distributed around the desired average of 250 g, with a standard deviationStandard deviation
Standard deviation is a widely used measure of variability or diversity used in statistics and probability theory. It shows how much variation or "dispersion" there is from the average...
of 2.5 g. To determine if the machine is adequately calibrated, a sample of n = 25 cups of margarine is chosen at random and the cups are weighed. The resulting measured masses of margarine are X1, ..., X25, a random sample from X.
To get an impression of the expectation μ, it is sufficient to give an estimate. The appropriate estimator
Estimator
In statistics, an estimator is a rule for calculating an estimate of a given quantity based on observed data: thus the rule and its result are distinguished....
is the sample mean:
The sample shows actual weights x1, ..., x25, with mean:
If we take another sample of 25 cups, we could easily expect to find mass values like 250.4 or 251.1 grams. A sample mean value of 280 grams however would be extremely rare if the mean content of the cups is in fact close to 250 grams. There is a whole interval around the observed value 250.2 grams of the sample mean within which, if the whole population mean actually takes a value in this range, the observed data would not be considered particularly unusual. Such an interval is called a confidence interval for the parameter μ. How do we calculate such an interval? The endpoints of the interval have to be calculated from the sample, so they are statistics, functions of the sample X1, ..., X25 and hence random variables themselves.
In our case we may determine the endpoints by considering that the sample mean from a normally distributed sample is also normally distributed, with the same expectation μ, but with a standard error
Standard error (statistics)
The standard error is the standard deviation of the sampling distribution of a statistic. The term may also be used to refer to an estimate of that standard deviation, derived from a particular sample used to compute the estimate....
of:
By standardizing, we get a random variable
dependent on the parameter μ to be estimated, but with a standard normal distribution independent of the parameter μ. Hence it is possible to find numbers −z and z, independent of μ, between which Z lies with probability 1 − α, a measure of how confident we want to be. We take 1 − α = 0.95. So we have:
The number z follows from the cumulative distribution function
Cumulative distribution function
In probability theory and statistics, the cumulative distribution function , or just distribution function, describes the probability that a real-valued random variable X with a given probability distribution will be found at a value less than or equal to x. Intuitively, it is the "area so far"...
, in this case the cumulative normal distribution function:
and we get:
This might be interpreted as: with probability 0.95 we will find a confidence interval in which we will meet the parameter μ between the stochastic endpoints
and
This does not mean that there is 0.95 probability of meeting the parameter μ in the calculated interval. Every time the measurements are repeated, there will be another value for the mean of the sample. In 95% of the cases μ will be between the endpoints calculated from this mean, but in 5% of the cases it will not be. The actual confidence interval is calculated by entering the measured masses in the formula. Our 0.95 confidence interval becomes:
The calculated interval has fixed endpoints, where μ might be in between (or not). Thus this event has probability either 0 or 1. One cannot say: "with probability (1 − α) the parameter μ lies in the confidence interval." One only knows that by repetition in 100(1 − α) % of the cases, μ will be in the calculated interval. In 100α % of the cases however it does not. And unfortunately one does not know in which of the cases this happens. That is why one can say: "with confidence level 100(1 − α) %, μ lies in the confidence interval."
The figure on the right shows 50 realizations of a confidence interval for a given population mean μ. If we randomly choose one realization, the probability is 95% we end up having chosen an interval that contains the parameter; however we may be unlucky and have picked the wrong one. We will never know; we are stuck with our interval.
Theoretical example
Suppose X1, ..., Xn are an independentStatistical independence
In probability theory, to say that two events are independent intuitively means that the occurrence of one event makes it neither more nor less probable that the other occurs...
sample from a normally distributed population with (parameters) mean
Mean
In statistics, mean has two related meanings:* the arithmetic mean .* the expected value of a random variable, which is also called the population mean....
μ and variance
Variance
In probability theory and statistics, the variance is a measure of how far a set of numbers is spread out. It is one of several descriptors of a probability distribution, describing how far the numbers lie from the mean . In particular, the variance is one of the moments of a distribution...
σ2. Let
be the well known statistic
Statistic
A statistic is a single measure of some attribute of a sample . It is calculated by applying a function to the values of the items comprising the sample which are known together as a set of data.More formally, statistical theory defines a statistic as a function of a sample where the function...
s, sample mean and sample variance. Then
has a Student's t-distribution with n − 1 degrees of freedom. Note that the distribution of T does not depend on the values of the unobservable parameters μ and σ2; i.e., it is a pivotal quantity
Pivotal quantity
In statistics, a pivotal quantity or pivot is a function of observations and unobservable parameters whose probability distribution does not depend on unknown parameters....
. Suppose we wanted to calculate a 90% confidence interval for μ. Then, denoting c as the 95th percentile
Percentile
In statistics, a percentile is the value of a variable below which a certain percent of observations fall. For example, the 20th percentile is the value below which 20 percent of the observations may be found...
of this distribution,
(Note: "95th" and "0.9" are correct in the preceding expressions. There is a 5% chance that T will be less than −c and a 5% chance that it will be larger than +c. Thus, the probability that T will be between −c and +c is 90%.)
Consequently
and we have a theoretical (stochastic) 90% confidence interval for μ.
After observing the sample we find values for and s for S, from which we compute the confidence interval
an interval with fixed numbers as endpoints, of which we can no longer say there is a certain probability it contains the parameter μ; either μ is in this interval or isn't.
Relation to hypothesis testing
While the formulations of the notions of confidence intervals and of statistical hypothesis testingStatistical hypothesis testing
A statistical hypothesis test is a method of making decisions using data, whether from a controlled experiment or an observational study . In statistics, a result is called statistically significant if it is unlikely to have occurred by chance alone, according to a pre-determined threshold...
are distinct they are in some senses related and to some extent complementary. While not all confidence intervals are constructed in this way, one general purpose approach to constructing confidence intervals is to define a 100(1 − α)% confidence interval to consist of all those values θ0 for which a test of the hypothesis θ = θ0 is not rejected at a significance level of 100α%. Such an approach may not always be available since it presupposes the practical availability of an appropriate significance test. Naturally, any assumptions required for the significance test would carry over to the confidence intervals.
It may be convenient to make the general correspondence that parameter values within a confidence interval are equivalent to those values that would not be rejected by an hypothesis test, but this would be dangerous. In many instances the confidence intervals that are quoted are only approximately valid, perhaps derived from "plus or minus twice the standard error", and the implications of this for the supposedly corresponding hypothesis tests are usually unknown.
Meaning and interpretation
For users of frequentist methods, various interpretations of a confidence interval can be given.- The confidence interval can be expressed in terms of samples (or repeated samples): "Were this procedure to be repeated on multiple samples, the calculated confidence interval (which would differ for each sample) would encompass the true population parameter 90% of the time." Note that this need not be repeated sampling from the same population, just repeated sampling.
- The explanation of a confidence interval can amount to something like: "The confidence interval represents values for the population parameter for which the difference between the parameter and the observed estimate is not statistically significant at the 10% level". In fact, this relates to one particular way in which a confidence interval may be constructed.
- The probability associated with a confidence interval may also be considered from a pre-experiment point of view, in the same context in which arguments for the random allocation of treatments to study items are made. Here the experimenter sets out the way in which they intend to calculate a confidence interval and know, before they do the actual experiment, that the interval they will end up calculating has a certain chance of covering the true but unknown value. This is very similar to the "repeated sample" interpretation above, except that it avoids relying on considering hypothetical repeats of a sampling procedure that may not be repeatable in any meaningful sense. See Neyman constructionNeyman constructionNeyman construction is a frequentist method to construct an interval at a confidence level C\, that if we repeat the experiment many times the interval will contain the true value a fraction C\, of the time. The probability that the intervals contains the true value is called the coverage.-...
.
In each of the above, the following applies: If the true value of the parameter lies outside the 90% confidence interval once it has been calculated, then an event has occurred which had a probability of 10% (or less) of happening by chance.
Meaning of the term "confidence"
There is a difference in meaning between the common usage of the word "confidence" and its statistical usage, which is often confusing to the layman, and this is one of the critiques of confidence intervals, namely that in application by non-statisticians, the term "confidence" is misleading.In common usage, a claim to 95% confidence in something is normally taken as indicating virtual certainty. In statistics, a claim to 95% confidence simply means that the researcher has seen something occur that happens only one time in 20 or less. If one were to roll two dice and get double six (which happens 1/36th of the time, or about 3%), few would claim this as proof that the dice were fixed, although statistically speaking one could have 97% confidence that they were. Similarly, the finding of a statistical link at 95% confidence is not proof, nor even very good evidence, that there is any real connection between the things linked.
When a study involves multiple statistical tests, people tend to assume that the confidence associated with individual tests is the confidence one should have in the results of the study itself. In fact, the results of all the statistical tests conducted during a study must be judged as a whole in determining what confidence one may place in the positive links it produces. For example, say a study is conducted which involves 40 statistical tests at 95% confidence, and which produces 3 positive results. Each test has a 5% chance of producing a false positive, so such a study will produce 3 false positives about two times in three. Thus the confidence one can have that any of the study's positive conclusions are correct is only about 32%, well below the 95% the researchers have set as their standard of acceptance.
Alternatives and critiques
Confidence intervals are one method of interval estimationInterval estimation
In statistics, interval estimation is the use of sample data to calculate an interval of possible values of an unknown population parameter, in contrast to point estimation, which is a single number. Neyman identified interval estimation as distinct from point estimation...
, and the most widely used in frequentist statistics.
An analogous concept in Bayesian statistics
Bayesian statistics
Bayesian statistics is that subset of the entire field of statistics in which the evidence about the true state of the world is expressed in terms of degrees of belief or, more specifically, Bayesian probabilities...
is credible interval
Credible interval
In Bayesian statistics, a credible 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...
s,
while an alternative frequentist method is that of prediction interval
Prediction interval
In statistical inference, specifically predictive inference, a prediction interval is an estimate of an interval in which future observations will fall, with a certain probability, given what has already been observed...
s which, rather than estimating parameters, estimate the outcome of future samples. For other approaches to expressing uncertainty using intervals, see interval estimation
Interval estimation
In statistics, interval estimation is the use of sample data to calculate an interval of possible values of an unknown population parameter, in contrast to point estimation, which is a single number. Neyman identified interval estimation as distinct from point estimation...
.
There is disagreement about which of these methods produces the most useful results: the mathematics of the computations are rarely in question – confidence intervals being based on sampling distributions, credible intervals being based on Bayes' theorem
Bayes' theorem
In probability theory and applications, Bayes' theorem relates the conditional probabilities P and P. It is commonly used in science and engineering. The theorem is named for Thomas Bayes ....
– but the application of these methods, the utility and interpretation of the produced statistics, is debated.
Users of Bayesian methods, if they produced an interval estimate
Interval estimation
In statistics, interval estimation is the use of sample data to calculate an interval of possible values of an unknown population parameter, in contrast to point estimation, which is a single number. Neyman identified interval estimation as distinct from point estimation...
, would in contrast to confidence intervals, want to say "My degree of belief that the parameter is in fact in this interval is 90%," while users of prediction intervals would instead say "I predict that the next sample will fall in this interval 90% of the time."
Confidence intervals are an expression of probability and are subject to the normal laws of probability. If several statistics are presented with confidence intervals, each calculated separately on the assumption of independence, that assumption must be honoured or the calculations will be rendered invalid. For example, if a researcher generates a set of statistics with intervals and selects some of them as significant, the act of selecting invalidates the calculations used to generate the intervals.
Philosophical issues
The principle behind confidence intervals was formulated to provide an answer to the question raised in statistical inferenceStatistical inference
In statistics, statistical inference is the process of drawing conclusions from data that are subject to random variation, for example, observational errors or sampling variation...
of how to deal with the uncertainty inherent in results derived from data that are themselves only a randomly selected subset of an entire statistical population of possible datasets. There are other answers, notably that provided by Bayesian inference
Bayesian inference
In statistics, Bayesian inference is a method of statistical inference. It is often used in science and engineering to determine model parameters, make predictions about unknown variables, and to perform model selection...
in the form of credible intervals. The idea of confidence intervals is that they correspond to a chosen rule for determining the confidence bounds, where this rule is essentially determined before any data are obtained, or before an experiment is done. The criterion for choosing this rule is that, over all possible datasets that might be obtained, there is a high probability that the interval determined by the rule will include the true value of the quantity under consideration. That is a fairly straightforward and reasonable way of specifying a rule for determining uncertainty intervals. The Bayesian approach appears to offer intervals that can, subject to acceptance of an interpretation of "probability" as Bayesian probability
Bayesian probability
Bayesian probability is one of the different interpretations of the concept of probability and belongs to the category of evidential probabilities. The Bayesian interpretation of probability can be seen as an extension of logic that enables reasoning with propositions, whose truth or falsity is...
, be interpreted as meaning that the specific interval calculated from a given dataset has a certain probability of including the true value, conditional on the data and other information available. The confidence interval approach does not allow this, since in this formulation and at this same stage, both the bounds of interval and the true values are fixed values and there is no randomness involved.
For example, in the poll example outlined in the introduction, one common-sense interpretation of a "95% interval" might be that readers of this information can be 95% confident that the actual number of voters intending to vote for the party in question is between 36% to 44%. However, this is technically incorrect. The actual meaning of confidence levels and confidence intervals is rather more subtle. In the above case, a correct interpretation would be as follows: If the polling were repeated a large number of times (you could produce a 95% confidence interval for your polling confidence interval), each time generating about a 95% confidence interval from the poll sample, then approximately 95% of the generated intervals would contain the true percentage of voters who intend to vote for the given party. Each time the polling is repeated, a different confidence interval is produced; hence, it is not possible to make absolute statements about probabilities for any one given interval. For more information, see the section on meaning and interpretation.
The questions of how an interval expressing uncertainty in an estimate might be formulated, and of how such intervals might be interpreted, are not strictly mathematical problems and are philosophically problematic. Mathematics can take over once the basic principles of an approach to inference have been established, but it has only a limited role in saying why one approach should be preferred to another.
Confidence intervals for proportions and related quantities
An approximate confidence interval for a population mean can be constructed for random variables that are not normally distributed in the population, relying on the central limit theoremCentral limit theorem
In probability theory, the central limit theorem states conditions under which the mean of a sufficiently large number of independent random variables, each with finite mean and variance, will be approximately normally distributed. The central limit theorem has a number of variants. In its common...
, if the sample size
Sample size
Sample size determination is the act of choosing the number of observations to include in a statistical sample. The sample size is an important feature of any empirical study in which the goal is to make inferences about a population from a sample...
s and counts are big enough. The formulae are identical to the case above (where the sample mean is actually normally distributed about the population mean). The approximation will be quite good with only a few dozen observations in the sample if the probability distribution
Probability distribution
In probability theory, a probability mass, probability density, or probability distribution is a function that describes the probability of a random variable taking certain values....
of the random variable is not too different from the normal distribution (e.g. its cumulative distribution function
Cumulative distribution function
In probability theory and statistics, the cumulative distribution function , or just distribution function, describes the probability that a real-valued random variable X with a given probability distribution will be found at a value less than or equal to x. Intuitively, it is the "area so far"...
does not have any discontinuities and its skewness
Skewness
In probability theory and statistics, skewness is a measure of the asymmetry of the probability distribution of a real-valued random variable. The skewness value can be positive or negative, or even undefined...
is moderate).
One type of sample mean is the mean of an indicator variable, which takes on the value 1 for true and the value 0 for false. The mean of such a variable is equal to the proportion that have the variable equal to one (both in the population and in any sample). This is a useful property of indicator variables, especially for hypothesis testing. To apply the central limit theorem
Central limit theorem
In probability theory, the central limit theorem states conditions under which the mean of a sufficiently large number of independent random variables, each with finite mean and variance, will be approximately normally distributed. The central limit theorem has a number of variants. In its common...
, one must use a large enough sample. A rough rule of thumb is that one should see at least 5 cases in which the indicator is 1 and at least 5 in which it is 0. Confidence intervals constructed using the above formulae may include negative numbers or numbers greater than 1, but proportions obviously cannot be negative or exceed 1. Additionally, sample proportions can only take on a finite number of values, so the central limit theorem
Central limit theorem
In probability theory, the central limit theorem states conditions under which the mean of a sufficiently large number of independent random variables, each with finite mean and variance, will be approximately normally distributed. The central limit theorem has a number of variants. In its common...
and the normal distribution are not the best tools for building a confidence interval. See "Binomial proportion confidence interval
Binomial proportion confidence interval
In statistics, a binomial proportion confidence interval is a confidence interval for a proportion in a statistical population. It uses the proportion estimated in a statistical sample and allows for sampling error. There are several formulas for a binomial confidence interval, but all of them rely...
" for better methods which are specific to this case.
See also
- Confidence bandConfidence bandA confidence band is used in statistical analysis to represent the uncertainty in an estimate of a curve or function based on limited or noisy data. Confidence bands are often used as part of the graphical presentation of results in a statistical analysis...
- Confidence interval for binomial distributionBinomial proportion confidence intervalIn statistics, a binomial proportion confidence interval is a confidence interval for a proportion in a statistical population. It uses the proportion estimated in a statistical sample and allows for sampling error. There are several formulas for a binomial confidence interval, but all of them rely...
- Confidence interval for mean of the Poisson distribution
- Confidence interval for mean of the Exponential distribution
- Confidence interval for exponent of the Power law distribution
- Error barError barError bars are a graphical representation of the variability of data and are used on graphs to indicate the error, or uncertainty in a reported measurement. They give a general idea of how accurate a measurement is, or conversely, how far from the reported value the true value might be...
- p-valueP-valueIn statistical significance testing, the p-value is the probability of obtaining a test statistic at least as extreme as the one that was actually observed, assuming that the null hypothesis is true. One often "rejects the null hypothesis" when the p-value is less than the significance level α ,...
- Robust confidence intervalsRobust confidence intervalsIn statistics a robust confidence interval is a robust modification of confidence intervals, meaning that one modifies the non-robust calculations of the confidence interval so that they are not badly affected by outlying or aberrant observations in a data-set.- Example :In the process of weighing...
- Tolerance intervalTolerance intervalA tolerance interval is a statistical interval within which, with some confidence level, a specified proportion of a population falls.A tolerance interval can be seen as a statistical version of a probability interval. If we knew a population's exact parameters, we would be able to compute a range...
Online calculators
External links
- The Exploratory Software for Confidence Intervals tutorial programs that run under Excel
- Confidence interval calculators for R-Squares, Regression Coefficients, and Regression Intercepts
- CAUSEweb.org Many resources for teaching statistics including Confidence Intervals.
- An interactive introduction to Confidence Intervals
- Confidence Intervals: Confidence Level, Sample Size, and Margin of Error by Eric Schulz, the Wolfram Demonstrations ProjectWolfram Demonstrations ProjectThe Wolfram Demonstrations Project is hosted by Wolfram Research, whose stated goal is to bring computational exploration to the widest possible audience. It consists of an organized, open-source collection of small interactive programs called Demonstrations, which are meant to visually and...
.