Neyman construction

Neyman construction is a frequentist method to construct an interval at a confidence level $C\,$ that if we repeat the experiment many times the interval will contain the true value a fraction $C\,$ of the time. The probability that the intervals contains the true value is called the coverage.

References

• Neyman, J. (1937) "Outline of a Theory of Statistical Estimation Based on the Classical Theory of Probability" Philosophical Transactions of the Royal Society of London A, 236, 333-380.

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