Is there a mathematical basis for the idea that this interpretation of confidence intervals is incorrect, or is it just frequentist philosophy?

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Suppose the mean time it takes all workers in a particular city to get to work is estimated as $21$. A $95%$ confident interval is calculated to be $(18.3, 23.7).$

According to this website, the following statement is incorrect:

There is a $95%$ chance that the mean time it takes all workers in this city to get to work is between $18.3$ and $23.7$ minutes.

Indeed, a lot websites echo a similar sentiment. This one, for example, says:

It is not quite correct to ask about the probability that the interval contains the population mean. It either does or it doesn't.

The meta-concept at work seems to be the idea that population parameters cannot be random, only the data we obtain about them can be random (related). This doesn't sit right with me, because I tend to think of probability as being fundamentally about our certainty that the world is a certain way. Also, if I understand correctly, there's really no mathematical basis for the notion that probabilities only apply to data and not parameters; in particular, this seems to be a manifestation of the frequentist/bayesianism debate.

Question. If the above comments are correct, then it would seem that the kinds of statements made on the aforementioned websites shouldn't be taken too seriously. To make a stronger claim, I'm under the impression that if an exam grader were to mark a student down for the aforementioned "incorrect" interpretation of confidence intervals, my impression is that this would be inappropriate (this hasn't happened to me; it's a hypothetical).

In any event, based on the underlying mathematics, are these fair comments I'm making, or is there something I'm missing?

probability probability-theory statistics statistical-inference philosophy

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edited Jul 17 at 9:47

TheSimpliFire

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asked Jul 17 at 9:20

goblin

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  Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
  – Ziofil
  Jul 17 at 9:35
  

  
  
  
  


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  If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
  – Henry
  Jul 17 at 9:56
  
  

  
  
  
  

add a comment | 

up vote
11
down vote

favorite

4

Suppose the mean time it takes all workers in a particular city to get to work is estimated as $21$. A $95%$ confident interval is calculated to be $(18.3, 23.7).$

According to this website, the following statement is incorrect:

There is a $95%$ chance that the mean time it takes all workers in this city to get to work is between $18.3$ and $23.7$ minutes.

Indeed, a lot websites echo a similar sentiment. This one, for example, says:

It is not quite correct to ask about the probability that the interval contains the population mean. It either does or it doesn't.

The meta-concept at work seems to be the idea that population parameters cannot be random, only the data we obtain about them can be random (related). This doesn't sit right with me, because I tend to think of probability as being fundamentally about our certainty that the world is a certain way. Also, if I understand correctly, there's really no mathematical basis for the notion that probabilities only apply to data and not parameters; in particular, this seems to be a manifestation of the frequentist/bayesianism debate.

Question. If the above comments are correct, then it would seem that the kinds of statements made on the aforementioned websites shouldn't be taken too seriously. To make a stronger claim, I'm under the impression that if an exam grader were to mark a student down for the aforementioned "incorrect" interpretation of confidence intervals, my impression is that this would be inappropriate (this hasn't happened to me; it's a hypothetical).

In any event, based on the underlying mathematics, are these fair comments I'm making, or is there something I'm missing?

probability probability-theory statistics statistical-inference philosophy

share|cite|improve this question

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

asked Jul 17 at 9:20

goblin

35.5k1153181

• 
  
  
  

  
  

  
  
  
  
  
  

  
  Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
  – Ziofil
  Jul 17 at 9:35
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
  – Henry
  Jul 17 at 9:56
  
  

  
  
  
  

add a comment | 

up vote
11
down vote

favorite

4

up vote
11
down vote

favorite

4

4

Suppose the mean time it takes all workers in a particular city to get to work is estimated as $21$. A $95%$ confident interval is calculated to be $(18.3, 23.7).$

According to this website, the following statement is incorrect:

There is a $95%$ chance that the mean time it takes all workers in this city to get to work is between $18.3$ and $23.7$ minutes.

Indeed, a lot websites echo a similar sentiment. This one, for example, says:

It is not quite correct to ask about the probability that the interval contains the population mean. It either does or it doesn't.

The meta-concept at work seems to be the idea that population parameters cannot be random, only the data we obtain about them can be random (related). This doesn't sit right with me, because I tend to think of probability as being fundamentally about our certainty that the world is a certain way. Also, if I understand correctly, there's really no mathematical basis for the notion that probabilities only apply to data and not parameters; in particular, this seems to be a manifestation of the frequentist/bayesianism debate.

Question. If the above comments are correct, then it would seem that the kinds of statements made on the aforementioned websites shouldn't be taken too seriously. To make a stronger claim, I'm under the impression that if an exam grader were to mark a student down for the aforementioned "incorrect" interpretation of confidence intervals, my impression is that this would be inappropriate (this hasn't happened to me; it's a hypothetical).

In any event, based on the underlying mathematics, are these fair comments I'm making, or is there something I'm missing?

probability probability-theory statistics statistical-inference philosophy

share|cite|improve this question

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

asked Jul 17 at 9:20

goblin

35.5k1153181

Suppose the mean time it takes all workers in a particular city to get to work is estimated as $21$. A $95%$ confident interval is calculated to be $(18.3, 23.7).$

According to this website, the following statement is incorrect:

There is a $95%$ chance that the mean time it takes all workers in this city to get to work is between $18.3$ and $23.7$ minutes.

Indeed, a lot websites echo a similar sentiment. This one, for example, says:

It is not quite correct to ask about the probability that the interval contains the population mean. It either does or it doesn't.

The meta-concept at work seems to be the idea that population parameters cannot be random, only the data we obtain about them can be random (related). This doesn't sit right with me, because I tend to think of probability as being fundamentally about our certainty that the world is a certain way. Also, if I understand correctly, there's really no mathematical basis for the notion that probabilities only apply to data and not parameters; in particular, this seems to be a manifestation of the frequentist/bayesianism debate.

Question. If the above comments are correct, then it would seem that the kinds of statements made on the aforementioned websites shouldn't be taken too seriously. To make a stronger claim, I'm under the impression that if an exam grader were to mark a student down for the aforementioned "incorrect" interpretation of confidence intervals, my impression is that this would be inappropriate (this hasn't happened to me; it's a hypothetical).

In any event, based on the underlying mathematics, are these fair comments I'm making, or is there something I'm missing?

probability probability-theory statistics statistical-inference philosophy

share|cite|improve this question

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

asked Jul 17 at 9:20

goblin

35.5k1153181

share|cite|improve this question

share|cite|improve this question

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

edited Jul 17 at 9:47

TheSimpliFire

9,70261951

9,70261951

asked Jul 17 at 9:20

goblin

35.5k1153181

asked Jul 17 at 9:20

goblin

35.5k1153181

asked Jul 17 at 9:20

goblin

35.5k1153181

35.5k1153181

• 
  
  
  

  
  

  
  
  
  
  
  

  
  Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
  – Ziofil
  Jul 17 at 9:35
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
  – Henry
  Jul 17 at 9:56
  
  

  
  
  
  

add a comment | 

• 
  
  
  

  
  

  
  
  
  
  
  

  
  Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
  – Ziofil
  Jul 17 at 9:35
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
  – Henry
  Jul 17 at 9:56
  
  

  
  
  
  

Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
– Ziofil
Jul 17 at 9:35

Would the statement be OK if it refers to a sample? E.g., you measure a subset of workers and you determine that with prob 95% you identified the first moment of the actual prob. distribution to be in that interval.
– Ziofil
Jul 17 at 9:35

If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
– Henry
Jul 17 at 9:56

If you "tend to think of probability as being fundamentally about our certainty that the world is a certain way" then you might find it easier to use Bayesian approaches to credible intervals rather than frequentist approaches to confidence intervals
– Henry
Jul 17 at 9:56

add a comment | 

4 Answers
4

active

oldest

votes

up vote
3
down vote



accepted

Confidence intervals within the frequentist paradigm: You are correct that these assertions (warning against interpreting the confidence interval as a probability interval for the parameter) come from the fact that confidence intervals arise in the classical frequentist method, and in that context, the parameter is considered a fixed "unknown constant", not a random variable. There is a relevant probability statement pertaining to the confidence interval, which is:

$$mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX) mid mu) = 1-alpha,$$

where $L(mathbfX)$ and $U(mathbfX)$ are bounds formed as functions of the sample data $mathbfX$ (usually via the use of rearrangement of a probability statement about a pivotal quantity). Importantly, the data vector $mathbfX$ is the random variable in this probability statement, and the parameter $mu$ is treated as a fixed "unknown constant". (I have indicated this by putting it as a conditioning variable, but within the frequentist paradigm you wouldn't even specify this; it would just be implicit.) The confidence interval is derived from this probability statement by taking the observed sample data $mathbfx$ to yield the fixed interval $textCI(1-alpha) = [ L(mathbfx), U(mathbfx) ]$.

The reason for the assertions you are reading is that once you replace the random sample data $mathbfX$ with the observed sample data $mathbfx$, you can no longer make the probability statement analogous to the above. Since the data and parameters are both constants, you now have the trivial statement:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx)) = begincases 0 & textif mu notin textCI(1-alpha), \[6pt] 1 & textif mu in textCI(1-alpha). endcases$$

---

Confidence intervals within the Bayesian paradigm: If you would prefer to interpret the unknown parameter $mu$ as a random variable, you are now undertaking a Bayesian treatment of the problem. Although the confidence interval is a procedure formulated within the classical paradigm, it is possible to interpret it within the context of Bayesian analysis.

However, even within the Bayesian context, it is still not valid to assert a posteriori that the CI contains the true parameter with the specified probability. In fact, this posterior probability depends on the prior distribution for the parameter. To see this, we observe that:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx) mid mathbfx)
= int limits_L(mathbfx)^U(mathbfx) pi(mu | mathbfx) dmu = fracint_L(mathbfx)^U(mathbfx) L_mathbfx(mu) pi(mu)dmuint L_mathbfx(mu) pi(mu) dmu.$$

This posterior probability depends on the prior, and is not generally equal to $1-alpha$ (though it may be in some special cases). The initial probability statement used in the confidence interval imposes a restriction on the sampling distribution, which constrains the likelihood function, but it still allows us freedom to choose different priors, yielding different posterior probabilities for the correctness of the interval.

(Note: It is easy to show that $mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX)) = 1-alpha$ using the law-of-total probability, but this is a prior probability, not a posterior probability, since it does not condition on the data. Thus, within the Bayesian paradigm, we may say a priori that the confidence interval will contain the parameter with the specified probability, but we cannot generally say this a posteriori.)

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edited Jul 18 at 7:53

Ilmari Karonen

19k25180

answered Jul 18 at 5:39

Ben

81911

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  This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
  – joriki
  Jul 18 at 11:39
  

  
  
  
  


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  @joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
  – Ben
  Jul 18 at 12:13
  

  
  
  
  

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up vote
8
down vote

We need to distinguish between two claims here:

1. Population parameters cannot be random, only the data we obtain about them can be random.


2. Interpreting confidence intervals as containing a parameter with a certain probability is wrong.

The first is a sweeping statement that you correctly describe as frequentist philosophy (in some cases “dogma” would seem more appropriate) and that you don't need to subscribe to if you find a subjectivist interpretation of probabilities to be interesting, useful or perhaps even true. (I certainly find it at least useful and interesting.)

The second statement, however, is true. Confidence intervals are inherently frequentist animals; they're constructed with the goal that no matter what the value of the unknown parameter is, for any fixed value you have the same prescribed probability of constructing a confidence interval that contains the “true” value of the parameter. You can't construct them according to this frequentist prescription and then reinterpret them in a subjectivist way; that leads to a statement that's false not because it doesn't follow frequentist dogma but because it wasn't derived for a subjective probability. A Bayesian approach leads to a different interval, which is rightly given a different name, a credible interval.

An instructive example is afforded by the confidence intervals for the unknown rate parameter of a Poisson process with known background noise rate. In this case, there are values of the data for which it is certain that the confidence interval does not contain the “true” parameter. This is not an error in the construction of the intervals; they have to be constructed like that to allow them to be interpreted in a frequentist manner. Interpreting such a confidence interval in a subjectivist manner would result in nonsense. The Bayesian credible intervals, on the other hand, always have a certain probability of containing the “random” parameter.

I read a nice exposition of this example recently but I can't find it right now – I'll post it if I find it again, but for now I think this paper is also a useful introduction. (Example $11$ on p. $20$ is particularly amusing.)

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edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

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  I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
  – DRF
  Jul 17 at 18:11
  

  
  
  
  


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  I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
  – zhoraster
  Jul 18 at 6:11
  
  

  
  
  
  


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  I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
  – Ilmari Karonen
  Jul 18 at 7:58
  

  
  
  
  


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  @IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
  – joriki
  Jul 18 at 8:12
  
  

  
  
  
  


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  @DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
  – joriki
  Jul 18 at 10:50
  
  

  
  
  
  

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up vote
5
down vote

Here is how it appears in Larry Wasserman's All of Statistics

Warning ! There is much confusion about how to interpret a confidence interval. A confidence interval is not a probability statement about $theta$ (parameter of the problem), since $theta$ is a fixed quantity, not a random variable. Some texts interpret as follows: If I repeat over and over, the interval will contain the parameter 95 percent of the time. This is correct but useless since you rarely the same experiment over and over. A better interpretation is this: On day 1 you collect data and construct a 95 percent confidence interval for a parameter $theta_1$. On day 2, you collect new data and construct a 95 percent confidence interval for an unrelated parameter $theta_2$. [...] You continue this way constructing confidence intervals for a sequence of unrelated parameters $theta_1, theta_2, dots$. Then 95 percent of your intervals will trap the true parameter value. There is no need to introduce the idea of repeating the same experiment over and over.

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answered Jul 17 at 9:32

ippiki-ookami

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  How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
  – G Tony Jacobs
  Jul 17 at 10:01
  

  
  
  
  


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  @GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
  – Mees de Vries
  Jul 17 at 10:01
  

  
  
  
  


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  @GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
  – Mees de Vries
  Jul 17 at 10:14
  

  
  
  
  


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  Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
  – G Tony Jacobs
  Jul 17 at 10:24
  

  
  
  
  


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  I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
  – goblin
  Jul 17 at 11:44
  

  
  
  
  

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show 3 more comments

up vote
2
down vote

The very technical definition of a 95% confidence interval implies that if we were to repeat the experiment 100 times, 95 of those times our confidence interval would have the true population mean.

So saying that a confidence interval is the probability that the true population mean lies in it does not seem intuitively wrong, but technically the probabilities might work out differently depending on how we state it.

The definition relies upon the true population mean being a constant and our intervals kinda guessing it, whereas the usual, technically incorrect, intuitive answer depends upon our confidence interval being constant and our true mean shifting around randomly.

I hope this sheds some light on this topic.

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answered Jul 17 at 9:35

Hariharan

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  That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
  – G Tony Jacobs
  Jul 17 at 10:04
  

  
  
  
  


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  Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
  – Hariharan
  Jul 17 at 10:50
  

  
  
  
  


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  Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
  – G Tony Jacobs
  Jul 17 at 11:05
  

  
  
  
  


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  Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
  – Hariharan
  Jul 17 at 11:57
  

  
  
  
  

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4 Answers
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active

oldest

votes

4 Answers
4

active

oldest

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active

oldest

votes

active

oldest

votes

up vote
3
down vote



accepted

Confidence intervals within the frequentist paradigm: You are correct that these assertions (warning against interpreting the confidence interval as a probability interval for the parameter) come from the fact that confidence intervals arise in the classical frequentist method, and in that context, the parameter is considered a fixed "unknown constant", not a random variable. There is a relevant probability statement pertaining to the confidence interval, which is:

$$mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX) mid mu) = 1-alpha,$$

where $L(mathbfX)$ and $U(mathbfX)$ are bounds formed as functions of the sample data $mathbfX$ (usually via the use of rearrangement of a probability statement about a pivotal quantity). Importantly, the data vector $mathbfX$ is the random variable in this probability statement, and the parameter $mu$ is treated as a fixed "unknown constant". (I have indicated this by putting it as a conditioning variable, but within the frequentist paradigm you wouldn't even specify this; it would just be implicit.) The confidence interval is derived from this probability statement by taking the observed sample data $mathbfx$ to yield the fixed interval $textCI(1-alpha) = [ L(mathbfx), U(mathbfx) ]$.

The reason for the assertions you are reading is that once you replace the random sample data $mathbfX$ with the observed sample data $mathbfx$, you can no longer make the probability statement analogous to the above. Since the data and parameters are both constants, you now have the trivial statement:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx)) = begincases 0 & textif mu notin textCI(1-alpha), \[6pt] 1 & textif mu in textCI(1-alpha). endcases$$

---

Confidence intervals within the Bayesian paradigm: If you would prefer to interpret the unknown parameter $mu$ as a random variable, you are now undertaking a Bayesian treatment of the problem. Although the confidence interval is a procedure formulated within the classical paradigm, it is possible to interpret it within the context of Bayesian analysis.

However, even within the Bayesian context, it is still not valid to assert a posteriori that the CI contains the true parameter with the specified probability. In fact, this posterior probability depends on the prior distribution for the parameter. To see this, we observe that:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx) mid mathbfx)
= int limits_L(mathbfx)^U(mathbfx) pi(mu | mathbfx) dmu = fracint_L(mathbfx)^U(mathbfx) L_mathbfx(mu) pi(mu)dmuint L_mathbfx(mu) pi(mu) dmu.$$

This posterior probability depends on the prior, and is not generally equal to $1-alpha$ (though it may be in some special cases). The initial probability statement used in the confidence interval imposes a restriction on the sampling distribution, which constrains the likelihood function, but it still allows us freedom to choose different priors, yielding different posterior probabilities for the correctness of the interval.

(Note: It is easy to show that $mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX)) = 1-alpha$ using the law-of-total probability, but this is a prior probability, not a posterior probability, since it does not condition on the data. Thus, within the Bayesian paradigm, we may say a priori that the confidence interval will contain the parameter with the specified probability, but we cannot generally say this a posteriori.)

share|cite|improve this answer

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

answered Jul 18 at 5:39

Ben

81911

• 
  
  
  

  
  

  
  
  
  
  
  

  
  This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
  – joriki
  Jul 18 at 11:39
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  @joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
  – Ben
  Jul 18 at 12:13
  

  
  
  
  

add a comment | 

up vote
3
down vote



accepted

Confidence intervals within the frequentist paradigm: You are correct that these assertions (warning against interpreting the confidence interval as a probability interval for the parameter) come from the fact that confidence intervals arise in the classical frequentist method, and in that context, the parameter is considered a fixed "unknown constant", not a random variable. There is a relevant probability statement pertaining to the confidence interval, which is:

$$mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX) mid mu) = 1-alpha,$$

where $L(mathbfX)$ and $U(mathbfX)$ are bounds formed as functions of the sample data $mathbfX$ (usually via the use of rearrangement of a probability statement about a pivotal quantity). Importantly, the data vector $mathbfX$ is the random variable in this probability statement, and the parameter $mu$ is treated as a fixed "unknown constant". (I have indicated this by putting it as a conditioning variable, but within the frequentist paradigm you wouldn't even specify this; it would just be implicit.) The confidence interval is derived from this probability statement by taking the observed sample data $mathbfx$ to yield the fixed interval $textCI(1-alpha) = [ L(mathbfx), U(mathbfx) ]$.

The reason for the assertions you are reading is that once you replace the random sample data $mathbfX$ with the observed sample data $mathbfx$, you can no longer make the probability statement analogous to the above. Since the data and parameters are both constants, you now have the trivial statement:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx)) = begincases 0 & textif mu notin textCI(1-alpha), \[6pt] 1 & textif mu in textCI(1-alpha). endcases$$

---

Confidence intervals within the Bayesian paradigm: If you would prefer to interpret the unknown parameter $mu$ as a random variable, you are now undertaking a Bayesian treatment of the problem. Although the confidence interval is a procedure formulated within the classical paradigm, it is possible to interpret it within the context of Bayesian analysis.

However, even within the Bayesian context, it is still not valid to assert a posteriori that the CI contains the true parameter with the specified probability. In fact, this posterior probability depends on the prior distribution for the parameter. To see this, we observe that:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx) mid mathbfx)
= int limits_L(mathbfx)^U(mathbfx) pi(mu | mathbfx) dmu = fracint_L(mathbfx)^U(mathbfx) L_mathbfx(mu) pi(mu)dmuint L_mathbfx(mu) pi(mu) dmu.$$

This posterior probability depends on the prior, and is not generally equal to $1-alpha$ (though it may be in some special cases). The initial probability statement used in the confidence interval imposes a restriction on the sampling distribution, which constrains the likelihood function, but it still allows us freedom to choose different priors, yielding different posterior probabilities for the correctness of the interval.

(Note: It is easy to show that $mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX)) = 1-alpha$ using the law-of-total probability, but this is a prior probability, not a posterior probability, since it does not condition on the data. Thus, within the Bayesian paradigm, we may say a priori that the confidence interval will contain the parameter with the specified probability, but we cannot generally say this a posteriori.)

share|cite|improve this answer

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

answered Jul 18 at 5:39

Ben

81911

• 
  
  
  

  
  

  
  
  
  
  
  

  
  This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
  – joriki
  Jul 18 at 11:39
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  @joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
  – Ben
  Jul 18 at 12:13
  

  
  
  
  

add a comment | 

up vote
3
down vote



accepted

up vote
3
down vote



accepted

Confidence intervals within the frequentist paradigm: You are correct that these assertions (warning against interpreting the confidence interval as a probability interval for the parameter) come from the fact that confidence intervals arise in the classical frequentist method, and in that context, the parameter is considered a fixed "unknown constant", not a random variable. There is a relevant probability statement pertaining to the confidence interval, which is:

$$mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX) mid mu) = 1-alpha,$$

where $L(mathbfX)$ and $U(mathbfX)$ are bounds formed as functions of the sample data $mathbfX$ (usually via the use of rearrangement of a probability statement about a pivotal quantity). Importantly, the data vector $mathbfX$ is the random variable in this probability statement, and the parameter $mu$ is treated as a fixed "unknown constant". (I have indicated this by putting it as a conditioning variable, but within the frequentist paradigm you wouldn't even specify this; it would just be implicit.) The confidence interval is derived from this probability statement by taking the observed sample data $mathbfx$ to yield the fixed interval $textCI(1-alpha) = [ L(mathbfx), U(mathbfx) ]$.

The reason for the assertions you are reading is that once you replace the random sample data $mathbfX$ with the observed sample data $mathbfx$, you can no longer make the probability statement analogous to the above. Since the data and parameters are both constants, you now have the trivial statement:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx)) = begincases 0 & textif mu notin textCI(1-alpha), \[6pt] 1 & textif mu in textCI(1-alpha). endcases$$

---

Confidence intervals within the Bayesian paradigm: If you would prefer to interpret the unknown parameter $mu$ as a random variable, you are now undertaking a Bayesian treatment of the problem. Although the confidence interval is a procedure formulated within the classical paradigm, it is possible to interpret it within the context of Bayesian analysis.

However, even within the Bayesian context, it is still not valid to assert a posteriori that the CI contains the true parameter with the specified probability. In fact, this posterior probability depends on the prior distribution for the parameter. To see this, we observe that:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx) mid mathbfx)
= int limits_L(mathbfx)^U(mathbfx) pi(mu | mathbfx) dmu = fracint_L(mathbfx)^U(mathbfx) L_mathbfx(mu) pi(mu)dmuint L_mathbfx(mu) pi(mu) dmu.$$

This posterior probability depends on the prior, and is not generally equal to $1-alpha$ (though it may be in some special cases). The initial probability statement used in the confidence interval imposes a restriction on the sampling distribution, which constrains the likelihood function, but it still allows us freedom to choose different priors, yielding different posterior probabilities for the correctness of the interval.

(Note: It is easy to show that $mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX)) = 1-alpha$ using the law-of-total probability, but this is a prior probability, not a posterior probability, since it does not condition on the data. Thus, within the Bayesian paradigm, we may say a priori that the confidence interval will contain the parameter with the specified probability, but we cannot generally say this a posteriori.)

share|cite|improve this answer

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

answered Jul 18 at 5:39

Ben

81911

Confidence intervals within the frequentist paradigm: You are correct that these assertions (warning against interpreting the confidence interval as a probability interval for the parameter) come from the fact that confidence intervals arise in the classical frequentist method, and in that context, the parameter is considered a fixed "unknown constant", not a random variable. There is a relevant probability statement pertaining to the confidence interval, which is:

$$mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX) mid mu) = 1-alpha,$$

where $L(mathbfX)$ and $U(mathbfX)$ are bounds formed as functions of the sample data $mathbfX$ (usually via the use of rearrangement of a probability statement about a pivotal quantity). Importantly, the data vector $mathbfX$ is the random variable in this probability statement, and the parameter $mu$ is treated as a fixed "unknown constant". (I have indicated this by putting it as a conditioning variable, but within the frequentist paradigm you wouldn't even specify this; it would just be implicit.) The confidence interval is derived from this probability statement by taking the observed sample data $mathbfx$ to yield the fixed interval $textCI(1-alpha) = [ L(mathbfx), U(mathbfx) ]$.

The reason for the assertions you are reading is that once you replace the random sample data $mathbfX$ with the observed sample data $mathbfx$, you can no longer make the probability statement analogous to the above. Since the data and parameters are both constants, you now have the trivial statement:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx)) = begincases 0 & textif mu notin textCI(1-alpha), \[6pt] 1 & textif mu in textCI(1-alpha). endcases$$

---

Confidence intervals within the Bayesian paradigm: If you would prefer to interpret the unknown parameter $mu$ as a random variable, you are now undertaking a Bayesian treatment of the problem. Although the confidence interval is a procedure formulated within the classical paradigm, it is possible to interpret it within the context of Bayesian analysis.

However, even within the Bayesian context, it is still not valid to assert a posteriori that the CI contains the true parameter with the specified probability. In fact, this posterior probability depends on the prior distribution for the parameter. To see this, we observe that:

$$mathbbP(L(mathbfx) leqslant mu leqslant U(mathbfx) mid mathbfx)
= int limits_L(mathbfx)^U(mathbfx) pi(mu | mathbfx) dmu = fracint_L(mathbfx)^U(mathbfx) L_mathbfx(mu) pi(mu)dmuint L_mathbfx(mu) pi(mu) dmu.$$

This posterior probability depends on the prior, and is not generally equal to $1-alpha$ (though it may be in some special cases). The initial probability statement used in the confidence interval imposes a restriction on the sampling distribution, which constrains the likelihood function, but it still allows us freedom to choose different priors, yielding different posterior probabilities for the correctness of the interval.

(Note: It is easy to show that $mathbbP(L(mathbfX) leqslant mu leqslant U(mathbfX)) = 1-alpha$ using the law-of-total probability, but this is a prior probability, not a posterior probability, since it does not condition on the data. Thus, within the Bayesian paradigm, we may say a priori that the confidence interval will contain the parameter with the specified probability, but we cannot generally say this a posteriori.)

share|cite|improve this answer

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

answered Jul 18 at 5:39

Ben

81911

share|cite|improve this answer

share|cite|improve this answer

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

edited Jul 18 at 7:53

Ilmari Karonen

19k25180

19k25180

answered Jul 18 at 5:39

Ben

81911

answered Jul 18 at 5:39

Ben

81911

answered Jul 18 at 5:39

Ben

81911

81911

• 
  
  
  

  
  

  
  
  
  
  
  

  
  This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
  – joriki
  Jul 18 at 11:39
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  @joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
  – Ben
  Jul 18 at 12:13
  

  
  
  
  

add a comment | 

• 
  
  
  

  
  

  
  
  
  
  
  

  
  This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
  – joriki
  Jul 18 at 11:39
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  @joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
  – Ben
  Jul 18 at 12:13
  

  
  
  
  

This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
– joriki
Jul 18 at 11:39

This is all correct, but I feel it gives a slightly wrong impression because you don't mention credible intervals and the fact that they can be interpreted in precisely this manner. That makes it sound a bit as if the problem were in interpreting intervals in this manner, whereas the problem is much more trivially in interpreting intervals in one paradigm that were specifically constructed for the purposes of another paradigm. If you start out with the intention of interpreting intervals as having a certain a posteriori probability of containing the parameter, there's no problem at all.
– joriki
Jul 18 at 11:39

1

1

@joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
– Ben
Jul 18 at 12:13

@joriki: Sure, credibility intervals do that. Restricting attention to confidence intervals was because that was the subject of the OP's question. The OP effectively wants to know if he can interpret a confidence interval this way if he considers the parameter to be random, so this answer is telling him he can't. I take your point though - we can certainly construct an interval with that property.
– Ben
Jul 18 at 12:13

add a comment | 

up vote
8
down vote

We need to distinguish between two claims here:

1. Population parameters cannot be random, only the data we obtain about them can be random.


2. Interpreting confidence intervals as containing a parameter with a certain probability is wrong.

The first is a sweeping statement that you correctly describe as frequentist philosophy (in some cases “dogma” would seem more appropriate) and that you don't need to subscribe to if you find a subjectivist interpretation of probabilities to be interesting, useful or perhaps even true. (I certainly find it at least useful and interesting.)

The second statement, however, is true. Confidence intervals are inherently frequentist animals; they're constructed with the goal that no matter what the value of the unknown parameter is, for any fixed value you have the same prescribed probability of constructing a confidence interval that contains the “true” value of the parameter. You can't construct them according to this frequentist prescription and then reinterpret them in a subjectivist way; that leads to a statement that's false not because it doesn't follow frequentist dogma but because it wasn't derived for a subjective probability. A Bayesian approach leads to a different interval, which is rightly given a different name, a credible interval.

An instructive example is afforded by the confidence intervals for the unknown rate parameter of a Poisson process with known background noise rate. In this case, there are values of the data for which it is certain that the confidence interval does not contain the “true” parameter. This is not an error in the construction of the intervals; they have to be constructed like that to allow them to be interpreted in a frequentist manner. Interpreting such a confidence interval in a subjectivist manner would result in nonsense. The Bayesian credible intervals, on the other hand, always have a certain probability of containing the “random” parameter.

I read a nice exposition of this example recently but I can't find it right now – I'll post it if I find it again, but for now I think this paper is also a useful introduction. (Example $11$ on p. $20$ is particularly amusing.)

share|cite|improve this answer

edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

164k10180328

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
  – DRF
  Jul 17 at 18:11
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
  – zhoraster
  Jul 18 at 6:11
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
  – Ilmari Karonen
  Jul 18 at 7:58
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
  – joriki
  Jul 18 at 8:12
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
  – joriki
  Jul 18 at 10:50
  
  

  
  
  
  

 | 
show 6 more comments

up vote
8
down vote

We need to distinguish between two claims here:

1. Population parameters cannot be random, only the data we obtain about them can be random.


2. Interpreting confidence intervals as containing a parameter with a certain probability is wrong.

The first is a sweeping statement that you correctly describe as frequentist philosophy (in some cases “dogma” would seem more appropriate) and that you don't need to subscribe to if you find a subjectivist interpretation of probabilities to be interesting, useful or perhaps even true. (I certainly find it at least useful and interesting.)

The second statement, however, is true. Confidence intervals are inherently frequentist animals; they're constructed with the goal that no matter what the value of the unknown parameter is, for any fixed value you have the same prescribed probability of constructing a confidence interval that contains the “true” value of the parameter. You can't construct them according to this frequentist prescription and then reinterpret them in a subjectivist way; that leads to a statement that's false not because it doesn't follow frequentist dogma but because it wasn't derived for a subjective probability. A Bayesian approach leads to a different interval, which is rightly given a different name, a credible interval.

An instructive example is afforded by the confidence intervals for the unknown rate parameter of a Poisson process with known background noise rate. In this case, there are values of the data for which it is certain that the confidence interval does not contain the “true” parameter. This is not an error in the construction of the intervals; they have to be constructed like that to allow them to be interpreted in a frequentist manner. Interpreting such a confidence interval in a subjectivist manner would result in nonsense. The Bayesian credible intervals, on the other hand, always have a certain probability of containing the “random” parameter.

I read a nice exposition of this example recently but I can't find it right now – I'll post it if I find it again, but for now I think this paper is also a useful introduction. (Example $11$ on p. $20$ is particularly amusing.)

share|cite|improve this answer

edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

164k10180328

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
  – DRF
  Jul 17 at 18:11
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
  – zhoraster
  Jul 18 at 6:11
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
  – Ilmari Karonen
  Jul 18 at 7:58
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
  – joriki
  Jul 18 at 8:12
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
  – joriki
  Jul 18 at 10:50
  
  

  
  
  
  

 | 
show 6 more comments

up vote
8
down vote

up vote
8
down vote

We need to distinguish between two claims here:

1. Population parameters cannot be random, only the data we obtain about them can be random.


2. Interpreting confidence intervals as containing a parameter with a certain probability is wrong.

The first is a sweeping statement that you correctly describe as frequentist philosophy (in some cases “dogma” would seem more appropriate) and that you don't need to subscribe to if you find a subjectivist interpretation of probabilities to be interesting, useful or perhaps even true. (I certainly find it at least useful and interesting.)

The second statement, however, is true. Confidence intervals are inherently frequentist animals; they're constructed with the goal that no matter what the value of the unknown parameter is, for any fixed value you have the same prescribed probability of constructing a confidence interval that contains the “true” value of the parameter. You can't construct them according to this frequentist prescription and then reinterpret them in a subjectivist way; that leads to a statement that's false not because it doesn't follow frequentist dogma but because it wasn't derived for a subjective probability. A Bayesian approach leads to a different interval, which is rightly given a different name, a credible interval.

An instructive example is afforded by the confidence intervals for the unknown rate parameter of a Poisson process with known background noise rate. In this case, there are values of the data for which it is certain that the confidence interval does not contain the “true” parameter. This is not an error in the construction of the intervals; they have to be constructed like that to allow them to be interpreted in a frequentist manner. Interpreting such a confidence interval in a subjectivist manner would result in nonsense. The Bayesian credible intervals, on the other hand, always have a certain probability of containing the “random” parameter.

I read a nice exposition of this example recently but I can't find it right now – I'll post it if I find it again, but for now I think this paper is also a useful introduction. (Example $11$ on p. $20$ is particularly amusing.)

share|cite|improve this answer

edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

164k10180328

We need to distinguish between two claims here:

1. Population parameters cannot be random, only the data we obtain about them can be random.


2. Interpreting confidence intervals as containing a parameter with a certain probability is wrong.

The first is a sweeping statement that you correctly describe as frequentist philosophy (in some cases “dogma” would seem more appropriate) and that you don't need to subscribe to if you find a subjectivist interpretation of probabilities to be interesting, useful or perhaps even true. (I certainly find it at least useful and interesting.)

The second statement, however, is true. Confidence intervals are inherently frequentist animals; they're constructed with the goal that no matter what the value of the unknown parameter is, for any fixed value you have the same prescribed probability of constructing a confidence interval that contains the “true” value of the parameter. You can't construct them according to this frequentist prescription and then reinterpret them in a subjectivist way; that leads to a statement that's false not because it doesn't follow frequentist dogma but because it wasn't derived for a subjective probability. A Bayesian approach leads to a different interval, which is rightly given a different name, a credible interval.

An instructive example is afforded by the confidence intervals for the unknown rate parameter of a Poisson process with known background noise rate. In this case, there are values of the data for which it is certain that the confidence interval does not contain the “true” parameter. This is not an error in the construction of the intervals; they have to be constructed like that to allow them to be interpreted in a frequentist manner. Interpreting such a confidence interval in a subjectivist manner would result in nonsense. The Bayesian credible intervals, on the other hand, always have a certain probability of containing the “random” parameter.

I read a nice exposition of this example recently but I can't find it right now – I'll post it if I find it again, but for now I think this paper is also a useful introduction. (Example $11$ on p. $20$ is particularly amusing.)

share|cite|improve this answer

edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

164k10180328

share|cite|improve this answer

share|cite|improve this answer

edited Jul 17 at 11:26

edited Jul 17 at 11:26

edited Jul 17 at 11:26

answered Jul 17 at 10:16

joriki

164k10180328

answered Jul 17 at 10:16

joriki

164k10180328

answered Jul 17 at 10:16

joriki

164k10180328

164k10180328

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
  – DRF
  Jul 17 at 18:11
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
  – zhoraster
  Jul 18 at 6:11
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
  – Ilmari Karonen
  Jul 18 at 7:58
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
  – joriki
  Jul 18 at 8:12
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
  – joriki
  Jul 18 at 10:50
  
  

  
  
  
  

 | 
show 6 more comments

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
  – DRF
  Jul 17 at 18:11
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
  – zhoraster
  Jul 18 at 6:11
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
  – Ilmari Karonen
  Jul 18 at 7:58
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
  – joriki
  Jul 18 at 8:12
  
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
  – joriki
  Jul 18 at 10:50
  
  

  
  
  
  

1

1

I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
– DRF
Jul 17 at 18:11

I'm confused why the first statement is as you say. I would assume that the actual population mean (at least for some things) is not a random variable in a strict sense but rather a specific function of time. In essence aren't we talking the difference between statistics and probability? We can have some belief about that mean which we view as a random variable but surely the mean itself is not random? What would the probability space be in that case? Are we thinking of it as a mean over many worlds with the one in ours just being a measurement?
– DRF
Jul 17 at 18:11

1

1

I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
– zhoraster
Jul 18 at 6:11

I would upvote it twice if I could - first time for the answer, the second, for the nice reference.
– zhoraster
Jul 18 at 6:11

I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
– Ilmari Karonen
Jul 18 at 7:58

I would upvote this if you actually showed the example you allude to. (The linked paper also looks nice, but I haven't finished reading it, so I won't upvote on that basis yet.)
– Ilmari Karonen
Jul 18 at 7:58

@IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
– joriki
Jul 18 at 8:12

@IlmariKaronen: I wish people would explain downvotes as carefully as you explained your decision not to upvote :-) I'll look for that nice exposition again as soon as I find the time.
– joriki
Jul 18 at 8:12

@DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
– joriki
Jul 18 at 10:50

@DRF: I suggest the Wikipedia articles on frequentist and Bayesian probability. The short answer is: No, we're not thinking of it as a mean over many worlds -- that sort of hypothetical averaging is characteristic of the frequentist approach. The subjectivist approach thinks of probability as characterizing a person's subjective state of beliefs and views the calculus of probability as the rational framework for deducing such beliefs from each other and from data.
– joriki
Jul 18 at 10:50

 | 
show 6 more comments

up vote
5
down vote

Here is how it appears in Larry Wasserman's All of Statistics

Warning ! There is much confusion about how to interpret a confidence interval. A confidence interval is not a probability statement about $theta$ (parameter of the problem), since $theta$ is a fixed quantity, not a random variable. Some texts interpret as follows: If I repeat over and over, the interval will contain the parameter 95 percent of the time. This is correct but useless since you rarely the same experiment over and over. A better interpretation is this: On day 1 you collect data and construct a 95 percent confidence interval for a parameter $theta_1$. On day 2, you collect new data and construct a 95 percent confidence interval for an unrelated parameter $theta_2$. [...] You continue this way constructing confidence intervals for a sequence of unrelated parameters $theta_1, theta_2, dots$. Then 95 percent of your intervals will trap the true parameter value. There is no need to introduce the idea of repeating the same experiment over and over.

share|cite|improve this answer

answered Jul 17 at 9:32

ippiki-ookami

350217

• 
  
  
  

  
  6
  

  
  
  
  
  
  

  
  How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
  – G Tony Jacobs
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
  – Mees de Vries
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  4
  

  
  
  
  
  
  

  
  @GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
  – Mees de Vries
  Jul 17 at 10:14
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
  – G Tony Jacobs
  Jul 17 at 10:24
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
  – goblin
  Jul 17 at 11:44
  

  
  
  
  

 | 
show 3 more comments

up vote
5
down vote

Here is how it appears in Larry Wasserman's All of Statistics

Warning ! There is much confusion about how to interpret a confidence interval. A confidence interval is not a probability statement about $theta$ (parameter of the problem), since $theta$ is a fixed quantity, not a random variable. Some texts interpret as follows: If I repeat over and over, the interval will contain the parameter 95 percent of the time. This is correct but useless since you rarely the same experiment over and over. A better interpretation is this: On day 1 you collect data and construct a 95 percent confidence interval for a parameter $theta_1$. On day 2, you collect new data and construct a 95 percent confidence interval for an unrelated parameter $theta_2$. [...] You continue this way constructing confidence intervals for a sequence of unrelated parameters $theta_1, theta_2, dots$. Then 95 percent of your intervals will trap the true parameter value. There is no need to introduce the idea of repeating the same experiment over and over.

share|cite|improve this answer

answered Jul 17 at 9:32

ippiki-ookami

350217

• 
  
  
  

  
  6
  

  
  
  
  
  
  

  
  How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
  – G Tony Jacobs
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
  – Mees de Vries
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  4
  

  
  
  
  
  
  

  
  @GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
  – Mees de Vries
  Jul 17 at 10:14
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
  – G Tony Jacobs
  Jul 17 at 10:24
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
  – goblin
  Jul 17 at 11:44
  

  
  
  
  

 | 
show 3 more comments

up vote
5
down vote

up vote
5
down vote

Here is how it appears in Larry Wasserman's All of Statistics

Warning ! There is much confusion about how to interpret a confidence interval. A confidence interval is not a probability statement about $theta$ (parameter of the problem), since $theta$ is a fixed quantity, not a random variable. Some texts interpret as follows: If I repeat over and over, the interval will contain the parameter 95 percent of the time. This is correct but useless since you rarely the same experiment over and over. A better interpretation is this: On day 1 you collect data and construct a 95 percent confidence interval for a parameter $theta_1$. On day 2, you collect new data and construct a 95 percent confidence interval for an unrelated parameter $theta_2$. [...] You continue this way constructing confidence intervals for a sequence of unrelated parameters $theta_1, theta_2, dots$. Then 95 percent of your intervals will trap the true parameter value. There is no need to introduce the idea of repeating the same experiment over and over.

share|cite|improve this answer

answered Jul 17 at 9:32

ippiki-ookami

350217

Here is how it appears in Larry Wasserman's All of Statistics

Warning ! There is much confusion about how to interpret a confidence interval. A confidence interval is not a probability statement about $theta$ (parameter of the problem), since $theta$ is a fixed quantity, not a random variable. Some texts interpret as follows: If I repeat over and over, the interval will contain the parameter 95 percent of the time. This is correct but useless since you rarely the same experiment over and over. A better interpretation is this: On day 1 you collect data and construct a 95 percent confidence interval for a parameter $theta_1$. On day 2, you collect new data and construct a 95 percent confidence interval for an unrelated parameter $theta_2$. [...] You continue this way constructing confidence intervals for a sequence of unrelated parameters $theta_1, theta_2, dots$. Then 95 percent of your intervals will trap the true parameter value. There is no need to introduce the idea of repeating the same experiment over and over.

share|cite|improve this answer

answered Jul 17 at 9:32

ippiki-ookami

350217

share|cite|improve this answer

share|cite|improve this answer

answered Jul 17 at 9:32

ippiki-ookami

350217

answered Jul 17 at 9:32

ippiki-ookami

350217

answered Jul 17 at 9:32

ippiki-ookami

350217

350217

• 
  
  
  

  
  6
  

  
  
  
  
  
  

  
  How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
  – G Tony Jacobs
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
  – Mees de Vries
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  4
  

  
  
  
  
  
  

  
  @GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
  – Mees de Vries
  Jul 17 at 10:14
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
  – G Tony Jacobs
  Jul 17 at 10:24
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
  – goblin
  Jul 17 at 11:44
  

  
  
  
  

 | 
show 3 more comments

• 
  
  
  

  
  6
  

  
  
  
  
  
  

  
  How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
  – G Tony Jacobs
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  @GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
  – Mees de Vries
  Jul 17 at 10:01
  

  
  
  
  


• 
  
  
  

  
  4
  

  
  
  
  
  
  

  
  @GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
  – Mees de Vries
  Jul 17 at 10:14
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
  – G Tony Jacobs
  Jul 17 at 10:24
  

  
  
  
  


• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
  – goblin
  Jul 17 at 11:44
  

  
  
  
  

6

6

How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
– G Tony Jacobs
Jul 17 at 10:01

How is the described process, of collecting a sample on each day, not introducing the idea of repeating the same experiment over and over?
– G Tony Jacobs
Jul 17 at 10:01

@GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
– Mees de Vries
Jul 17 at 10:01

@GTonyJacobs, they are (possibly) different experiments. The data may be completely unrelated.
– Mees de Vries
Jul 17 at 10:01

4

4

@GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
– Mees de Vries
Jul 17 at 10:14

@GTonyJacobs, we repeat the process of performing an experiment over and over, but the experiment, the population, the parameter we are trying to estimate, will all in general be different. The only repetition is the process of constructing some 95% confidence interval.
– Mees de Vries
Jul 17 at 10:14

1

1

Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
– G Tony Jacobs
Jul 17 at 10:24

Oooooooooh. I see it now. Thank you. The phrase I wasn't processing was "unrelated parameter".
– G Tony Jacobs
Jul 17 at 10:24

1

1

I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
– goblin
Jul 17 at 11:44

I don't think this really answers the question, insofar as Wasserman's point of view seems not to be based on mathematics, but rather some kind of meta-mathematical philosophy about the nature of probability.
– goblin
Jul 17 at 11:44

 | 
show 3 more comments

up vote
2
down vote

The very technical definition of a 95% confidence interval implies that if we were to repeat the experiment 100 times, 95 of those times our confidence interval would have the true population mean.

So saying that a confidence interval is the probability that the true population mean lies in it does not seem intuitively wrong, but technically the probabilities might work out differently depending on how we state it.

The definition relies upon the true population mean being a constant and our intervals kinda guessing it, whereas the usual, technically incorrect, intuitive answer depends upon our confidence interval being constant and our true mean shifting around randomly.

I hope this sheds some light on this topic.

share|cite|improve this answer

answered Jul 17 at 9:35

Hariharan

211

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
  – G Tony Jacobs
  Jul 17 at 10:04
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
  – Hariharan
  Jul 17 at 10:50
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
  – G Tony Jacobs
  Jul 17 at 11:05
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
  – Hariharan
  Jul 17 at 11:57
  

  
  
  
  

add a comment | 

up vote
2
down vote

The very technical definition of a 95% confidence interval implies that if we were to repeat the experiment 100 times, 95 of those times our confidence interval would have the true population mean.

So saying that a confidence interval is the probability that the true population mean lies in it does not seem intuitively wrong, but technically the probabilities might work out differently depending on how we state it.

The definition relies upon the true population mean being a constant and our intervals kinda guessing it, whereas the usual, technically incorrect, intuitive answer depends upon our confidence interval being constant and our true mean shifting around randomly.

I hope this sheds some light on this topic.

share|cite|improve this answer

answered Jul 17 at 9:35

Hariharan

211

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
  – G Tony Jacobs
  Jul 17 at 10:04
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
  – Hariharan
  Jul 17 at 10:50
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
  – G Tony Jacobs
  Jul 17 at 11:05
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
  – Hariharan
  Jul 17 at 11:57
  

  
  
  
  

add a comment | 

up vote
2
down vote

up vote
2
down vote

The very technical definition of a 95% confidence interval implies that if we were to repeat the experiment 100 times, 95 of those times our confidence interval would have the true population mean.

So saying that a confidence interval is the probability that the true population mean lies in it does not seem intuitively wrong, but technically the probabilities might work out differently depending on how we state it.

The definition relies upon the true population mean being a constant and our intervals kinda guessing it, whereas the usual, technically incorrect, intuitive answer depends upon our confidence interval being constant and our true mean shifting around randomly.

I hope this sheds some light on this topic.

share|cite|improve this answer

answered Jul 17 at 9:35

Hariharan

211

The very technical definition of a 95% confidence interval implies that if we were to repeat the experiment 100 times, 95 of those times our confidence interval would have the true population mean.

So saying that a confidence interval is the probability that the true population mean lies in it does not seem intuitively wrong, but technically the probabilities might work out differently depending on how we state it.

The definition relies upon the true population mean being a constant and our intervals kinda guessing it, whereas the usual, technically incorrect, intuitive answer depends upon our confidence interval being constant and our true mean shifting around randomly.

I hope this sheds some light on this topic.

share|cite|improve this answer

answered Jul 17 at 9:35

Hariharan

211

share|cite|improve this answer

share|cite|improve this answer

answered Jul 17 at 9:35

Hariharan

211

answered Jul 17 at 9:35

Hariharan

211

answered Jul 17 at 9:35

Hariharan

211

211

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
  – G Tony Jacobs
  Jul 17 at 10:04
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
  – Hariharan
  Jul 17 at 10:50
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
  – G Tony Jacobs
  Jul 17 at 11:05
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
  – Hariharan
  Jul 17 at 11:57
  

  
  
  
  

add a comment | 

• 
  
  
  

  
  1
  

  
  
  
  
  
  

  
  That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
  – G Tony Jacobs
  Jul 17 at 10:04
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
  – Hariharan
  Jul 17 at 10:50
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
  – G Tony Jacobs
  Jul 17 at 11:05
  

  
  
  
  


• 
  
  
  

  
  

  
  
  
  
  
  

  
  Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
  – Hariharan
  Jul 17 at 11:57
  

  
  
  
  

1

1

That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
– G Tony Jacobs
Jul 17 at 10:04

That's not quite true, that if we repeat the experiment $100$ times, $95$ of those would be "successes". The number of successes would be a random variable following a binomial distribution with $p=.95,n=100$. That random variable has expected value $95$, but that doesn't mean it would equal $95$ every time. More accurately, if we repeat the experiment $n$ times, and the confidence interval contains the true mean $x$ times, then $lim_ntoinftyx/n=.95$.
– G Tony Jacobs
Jul 17 at 10:04

Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
– Hariharan
Jul 17 at 10:50

Doesn't the last statement imply that our confidence interval will contain the mean with a probability of 0.95 as n tends to infinity?
– Hariharan
Jul 17 at 10:50

Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
– G Tony Jacobs
Jul 17 at 11:05

Kind of, but it's $n$ different confidence intervals, about $95%$ of which contain the mean. A randomly chosen one will contain the mean with probability $.95$.
– G Tony Jacobs
Jul 17 at 11:05

Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
– Hariharan
Jul 17 at 11:57

Ah yeah, that's kinda what was in my head but this solidified my understanding of it. Thanks.
– Hariharan
Jul 17 at 11:57

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