coverage probability

The coverage probability is a statistical concept that measures the likelihood that a confidence interval will contain the true value of a population parameter. It is usually expressed as a percentage, and it is calculated by the proportion of times that a confidence interval contains the true population parameter in repeated sampling. A higher coverage probability indicates that the confidence interval is more reliable and that it is more likely to contain the true population parameter.

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prediction interval coverage probability

The prediction interval coverage probability is the probability that a prediction interval contains the true value of a future observation. It is a measure of the accuracy of a prediction model and can be used to assess the reliability of predictions made by the model. The coverage probability is typically set at a certain level, such as 95% or 99%, and a prediction interval is constructed based on the model's estimated parameters and the level of uncertainty associated with the predictions. The coverage probability is then calculated as the proportion of times that the true value falls within the prediction interval, based on simulated data or actual observations. The higher the coverage probability, the more reliable the predictions made by the model.