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Concept
Coverage probability
Summary
In statistics, the coverage probability, or coverage for short, is the probability that a confidence interval or confidence region will include the true value (parameter) of interest. It can be defined as the proportion of instances where the interval surrounds the true value as assessed by long-run frequency.
The fixed degree of certainty pre-specified by the analyst, referred to as the confidence level or confidence coefficient of the constructed interval, is effectively the nominal coverage probability of the procedure for constructing confidence intervals. Hence, referring to a "nominal confidence level" or "nominal confidence coefficient" (e.g., as a synonym for nominal coverage probability) generally has to be considered tautological and misleading, as the notion of confidence level itself inherently implies nominality already. The nominal coverage probability is often set at 0.95. By contrast, the (true) coverage probability is the actual probability that the interval contains the parameter.
If all assumptions used in deriving a confidence interval are met, the nominal coverage probability will equal the coverage probability (termed "true" or "actual" coverage probability for emphasis). If any assumptions are not met, the actual coverage probability could either be less than or greater than the nominal coverage probability. When the actual coverage probability is greater than the nominal coverage probability, the interval is termed a conservative (confidence) interval; if it is less than the nominal coverage probability, the interval is termed anti-conservative, or permissive. For example, suppose the interest is in the mean number of months that people with a particular type of cancer remain in remission following successful treatment with chemotherapy. The confidence interval aims to contain the unknown mean remission duration with a given probability. In this example, the coverage probability would be the real probability that the interval actually contains the true mean remission duration.
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