In statistical estimation theory, the coverage probability, or coverage for short, is the probability that a confidence interval or confidence region will include the true value (parameter) of interest. It can be defined as the proportion of instances where the interval surrounds the true value as assessed by long-run frequency.[1]
In statistical prediction, the coverage probability is the probability that a prediction interval will include an out-of-sample value of the random variable. The coverage probability can be defined as the proportion of instances where the interval surrounds an out-of-sample value as assessed by long-run frequency. [2]
- ^ Dodge, Y. (2003). The Oxford Dictionary of Statistical Terms. OUP, ISBN 0-19-920613-9, p. 93.
- ^ Cite error: The named reference
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