Questions tagged [credible-interval]
A credible interval is an interval in Bayesian statistics that includes the true value of a parameter with $100(1-\alpha)\%$ posterior probability. Credible intervals treat the interval as fixed and the parameter as random.
191 questions
2 votes
0 answers
68 views
How can I best evaluate whether uncertainties (confidence/credible) are of appropriately width, in simulations?
I would like to evaluate how well two experimental designs perform with the goal of parameter estimation. I'm generating 1000 simulated datasets for each design and fitting the same model to all of ...
- 21.2k
1 vote
0 answers
39 views
How to interpret posterior uncertainty (e.g., credible intervals) under model misspecification?
In Bayesian inference, when the model is well-specified, and the prior is reasonable with respect to the true parameter of the model, the posterior is guaranteed to be well-calibrated under fairly ...
- 121
4 votes
1 answer
139 views
Loss function that is minimized by an HPD interval with specific coverage?
This answer describes two loss functions for Bayesian credible intervals, each of which is minimized by a particular kind of interval. I am curious whether there exists a loss function on credible ...
- 633
17 votes
2 answers
976 views
Shortcuts in a Bayesian power analysis without upsetting too many people
Apologies for the clickbait title - it's a reference to the fact that I know it's legitimately triggering to try to bring the frequentist concept of a power analysis into Bayesland where it doesn't ...
- 1,241
1 vote
0 answers
39 views
Making Aggregate Estimates in BAPC Package
I am working with the BAPC package in R to performing cancer incidence rates and cases projections. This is a special wrapper over the ...
- 662
1 vote
1 answer
70 views
Credible evaluation of trained model needs far more episodes than heuristic policy
During training and evaluating network model on an aircombat environment by PPO rl algorithm, it was surprisingly found that, credible evaluation of trained model needs far more episodes than ...
- 31
2 votes
0 answers
170 views
Why is the 95% confidence interval not also 95% credible?
I understand that in the frequentist's interpretation of probability, it makes no sense to say that the parameter has 95% probability to fall into this particular interval (since the parameter is not ...
- 31
1 vote
0 answers
49 views
Using Credible Interval and Mean from a previous study to Inform a Prior
I have a credible interval and mean from a previous study for a parameter and I’m wondering how to use that to inform the prior for my current study. My initial thought was to use a normal ...
- 31
1 vote
0 answers
37 views
Calculating one-sided credible intervals from posterior samples
I have a foundational question when it comes to calculating Bayesian credible intervals from posterior samples. For simplicity let's say I have a vector of 10,000 posterior samples $\theta^* = (\theta^...
- 39
5 votes
2 answers
303 views
How to interpret large intervals in GAMM mgcv::gam.vcomp() output?
I constructed a generalized additive mixed effect model (GAMM) that converged, but has very large intervals for some terms and I'm not sure if it's an issue. Practically all diagnostic tools that I've ...
- 2,537
0 votes
0 answers
53 views
What is the true meaning of Confidence level and o(x) function in ordering algorithms?
I am trying to understand the confidence level, Neymann constructions, sorting algorithms for confidence regions but I am struggling. Tell me if I understand correctly: The confidence level CL is the ...
- 1
3 votes
1 answer
196 views
Estimating High Confidence Upper Bound for Quantile of Unknown Distribution
I am given a random variable $X$ over $\mathbb R$ with an unknown distribution. I want to determine the smallest sample size $n$ needed to obtain a high confidence upper bound $\hat Q_{1-\alpha}$ for ...
- 51
6 votes
3 answers
964 views
confidence intervals for proportions containing a theoretically impossible value (zero)
This is really a hypothetical question not related to an actual issue I have, so this question is just out of curiosity. I'm aware of this other related question What should I do when a confidence ...
- 93
1 vote
1 answer
67 views
Extract credible/confidence interval of a threshold in a Bayesian posterior draws distribution [closed]
I have a Bayesian model created through bayer package in R on which I need to calculate confidence/credible intervals for a ...
- 229
6 votes
2 answers
857 views
Highest-density vs equal-tailed confidence interval
When a sampling distribution is symmetric (and I'm okay assuming unimodal too, if necessary), it's natural to center confidence intervals around the point estimate. But for a skewed distribution (e.g. ...
- 53