Coverage probability

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In statistical <a href="/facts/Estimation_theory/4nbgFDec">estimation theory</a>, the coverage probability, or coverage for short, is the <a href="/facts/Probability/fgYvMhwb">probability</a> that a <a href="/facts/Confidence_interval/NS8mG5UE">confidence interval</a> or <a href="/facts/Confidence_region/8wJdMBtg">confidence region</a> will include the <a href="/facts/Statistical_parameter/fkJju25M">true value</a> (parameter) of interest. 
It can be defined as the <a href="/facts/Empirical_probability/WyHXAJ43">proportion of instances</a> where the interval surrounds the true value as assessed by <a href="/facts/Frequentist_probability/1f1TjSey">long-run frequency</a>.
</p><p>In statistical prediction, the coverage probability is the <a href="/facts/Probability/fgYvMhwb">probability</a> that a <a href="/facts/Prediction_interval/0twP0IFI">prediction interval</a> will include an out-of-sample value of the <a href="/facts/Random_variable/TwTBXnLT">random variable</a>.
The coverage probability can be defined as the <a href="/facts/Empirical_probability/WyHXAJ43">proportion of instances</a> where the interval surrounds an out-of-sample value as assessed by <a href="/facts/Frequentist_probability/1f1TjSey">long-run frequency</a>.

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Coverage probability open-in-new

Coverage probability