Confidence limits (statistics)

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In statistics, a confidence interval (CI) or confidence bound is an interval estimate of a population parameter. Instead of estimating the parameter by a single value, an interval likely to include the parameter is given. Thus, confidence intervals are used to indicate the reliability of an estimate. How likely the interval is to contain the parameter is determined by the confidence level or confidence coefficient. Increasing the desired confidence level will widen the confidence interval.

For example, a CI can be used to describe how reliable survey results are. In a poll of election voting-intentions, the result might be that 40% of respondents intend to vote for a certain party. A 95% confidence interval for the proportion in the whole population having the same intention on the survey date might be 36% to 44%. All other things being equal, a survey result with a small CI is more reliable than a result with a large CI and one of the main things controlling this width in the case of population surveys is the size of the sample questioned. Confidence intervals and interval estimates more generally have applications across the whole range of quantitative studies.

If a statistic is presented with a confidence interval, and is claimed to be statistically significant, the underlying test leading to that claim will have been performed at a significance level of 100% minus the confidence level of the interval. If that test has produced a type I error, the statistic and its confidence interval will bear no relationship to the underlying parameter.

Brief explanation Edit

For a given proportion p (where p is the confidence level), a confidence interval for a population parameter is an interval that is calculated from a random sample of an underlying population such that, if the sampling was repeated numerous times and the confidence interval recalculated from each sample according to the same method, a proportion p of the confidence intervals would contain the population parameter in question. In unusual cases, a confidence set may consist of a collection of several separate intervals, which may include semi-infinite intervals, and it is possible that an outcome of a confidence-interval calculation could be the set of all values from minus infinity to plus infinity.

Confidence intervals are the most prevalent form of interval estimation. Interval estimates may be contrasted with point estimates and have the advantage over these as summaries of a dataset in that they convey more information – not just a "best estimate" of a parameter but an indication of the precision with which the parameter is known.

Confidence intervals play a similar role in frequentist statistics to the credibility interval in Bayesian statistics. However, confidence intervals and credibility intervals are not only mathematically different; they have radically different interpretations.

Confidence regions generalise the confidence interval concept to deal with multiple quantities. Such regions can indicate not only the extent of likely estimation errors but can also reveal whether (for example) the estimate for one quantity is too large then the other is also likely to be too large. See also confidence bands.

In applied practice, confidence intervals are typically stated at the 95% confidence level.[3] However, when presented graphically, confidence intervals can show several confidence levels, for example 50%, 95% and 99%.

Theoretical basisEdit

DefinitionEdit

Confidence Intervals as random intervalsEdit

Confidence intervals are constructed on the basis of a given dataset: x denotes the set of observations in the dataset, and X is used when considering the outcomes that might have been observed from the same population, where X is treated as a random variable whose observed outcome is X = x. A confidence interval is specified by a pair of functions u(.) and v(.) and the confidence interval for the given data set is defined as the interval (u(x), v(x)). To complete the definition of a confidence interval, there needs to be a clear understanding of the quantity for which the CI provides an interval estimate. Suppose this quantity is w. The property of the rules u(.) and v(.) that makes the interval (u(x),v(x)) closest to what a confidence interval for w would be, relates to the properties of the set of random intervals given by (u(X),v(X)): that is treating the end-points as random variables. This property is the coverage probability or the probability c that the random interval includes w,

$c=\Pr(u(X)

Here the endpoints U = u(X) and V = v(X) are statistics (i.e., observable random variables) which are derived from values in the dataset. The random interval is (UV).

Confidence intervals for inferenceEdit

For the above to provide a viable means to statistical inference, something further is required: a tie between the quantity being estimated and the probability distribution of the outcome X. Suppose that this probability distribution is characterised by the unobservable parameter θ, which is a quantity to be estimated, and by other unobservable parameters φ which are not of immediate interest. These other quantities φ in which there is no immediate interest are called nuisance parameters, as statistical theory still needs to find some way to deal with them.

The definition of a confidence interval for θ for any number α between 0 and 1 is an interval

$(u(X), v(X))$

for which

$\Pr_{X;\theta,\varphi}(u(X)<\theta

and u(X) and v(X) are observable random variables, i.e. one need not know the value of the unobservable quantities θ, φ in order to know the values of u(X) and v(X).

The number 1 − α (sometimes reported as a percentage 100%·(1 − α)) is called the confidence level or confidence coefficient. Most standard books adopt this convention, where α will be a small number. Here ${\Pr}_{X;\theta,\varphi}$ is used to indicate the probability when the random variable X has the distribution characterised by $(\theta,\phi)$. An important part of this specification is that the random interval (UV) covers the unknown value θ with a high probability no matter what the true value of θ actually is.

Note that here ${\Pr}_{X;\theta,\phi}$ need not refer to an explicitly given parameterised family of distributions, although it often does. Just as the random variable X notionally corresponds to other possible realisations of x from the same population or from the same version of reality, the parameters $(\theta,\phi)$ indicate that we need to consider other versions of reality in which the distribution of X might have different characteristics.

Intervals for random outcomesEdit

Confidence intervals can be defined for random quantities as well as for fixed quantities as in the above. See prediction interval. For this, consider an additional single-valued random variable Y which may or may not be statistically dependent on X. Then the rule for constructing the interval(u(x), v(x)) provides a confidence interval for the as-yet-to-be observed value y of Y if

$\Pr_{X,Y;\theta,\varphi}(u(X)

Here ${\Pr}_{X,Y;\theta,\varphi}$ is used to indicate the probability over the joint distribution of the random variables (XY) when this is characterised by parameters $(\theta,\varphi)$.

Approximate confidence intervalsEdit

For non-standard applications it is sometimes not possible to find rules for constructing confidence intervals that have exactly the required properties. But practically useful intervals can still be found. The coverage probability $c(\theta,\phi)$ for a random interval is defined by

${\Pr}_{X;\theta,\phi}(u(X)<\theta

and the rule for constructing the interval may be accepted as providing a confidence interval if

$c(\theta,\phi)\approxeq 1-\alpha$   for all $(\theta,\phi)$

to an acceptable level of approximation.

Comparison to Bayesian interval estimates Edit

A Bayesian interval estimate is called a credible interval. Using much of the same notation as above, the definition of a credible interval for the unknown true value of θ is, for a given α[4],

${\Pr}_{\Theta|X=x}(u(x)<\Theta

Here Θ is used to emphasize that the unknown value of $\theta$ is being treated as a random variable. The definitions of the two types of intervals may be compared as follows.

• The definition of a confidence interval involves probabilities calculated from the distribution of X for given $(\theta,\phi)$ (or conditional on these values) and the condition needs to hold for all values of $(\theta,\phi)$.
• The definition of a credible interval involves probabilities calculated from the distribution of Θ conditional on the observed values of X=x and marginalised (or averaged) over the values of $\Phi$, where this last quantity is the random variable corresponding to the uncertainty about the nuisance parameters in $\phi$.

Note that the treatment of the nuisance parameters above is often omitted from discussions comparing confidence and credible intervals but it is markedly different between the two cases.

In some simple standard cases, the intervals produced as confidence and credible intervals from the same data set can be identical. They are always very different if moderate or strong prior information is included in the Bayesian analysis.

Desirable propertiesEdit

When applying fairly standard statistical procedures, there will often be fairly standard ways of constructing confidence intervals. These will have been devised so as to meet certain desirable properties, which will hold given that the assumptions on which the procedure rely are true. In non-standard applications, the same desirable properties would be sought. These desirable properties may be described as: validity, optimality and invariance. Of these "validity" is most important, followed closely by "optimality". "Invariance" may be considered as a property of the method of derivation of a confidence interval rather than of the rule for constructing the interval.

• Validity. This means that the nominal coverage probability (confidence level) of the confidence interval should hold, either exactly or to a good approximation.
• Optimality. This means that the rule for constructing the confidence interval should make as much use of the information in the data-set as possible. Recall that one could throw away half of a dataset and still be able to derive a valid confidence interval. One way of assessing optimality is by the length of the interval, so that a rule for constructing a confidence interval is judged better than another if it leads to intervals whose widths are typically shorter.
• Invariance. In many applications the quantity being estimated might not be tightly defined as such. For example, a survey might result in an estimate of the median income in a population, but it might equally be considered as providing an estimate of the logarithm of the median income, given that this is a common scale for presenting graphical results. It would be desirable that the method used for constructing a confidence interval for the median income would give equivalent results when applied to constructing a confidence interval for the logarithm of the median income: specifically the values at the ends of the latter interval would be the logarithms of the values at the ends of former interval.

Methods of derivationEdit

For non-standard applications, there are several routes that might be taken to derive a rule for the construction of confidence intervals. Established rules for standard procedures might be justified or explained via several of these routes. Typically a rule for constructing confidence intervals is closely tied to a particular way of finding a point estimate of the quantity being considered.

Sample statistics
This is closely related to the method of moments for estimation. A simple example arises where the quantity to be estimated is the mean, in which case a natural estimate is the sample mean. The usual arguments indicate that the sample variance can be used to estimate the variance of the sample mean. A naive confidence interval for the true mean can be constructed centered on the sample mean with a width which is a multiple of the square root of the sample variance.
Likelihood theory
Where estimates are constructed using the maximum likelihood principle, the theory for this provides two ways of constructing confidence intervals or confidence regions for the estimates.
Estimating equations
The estimation approach here can be considered as both a generalization of the method of moments and a generalization of the maximum likelihood approach. There are corresponding generalizations of the results of maximum likelihood theory that allow confidence intervals to be constructed based on estimates derived from estimating equations.
Via significance testing
If significance tests are available for general values of a parameter, then confidence intervals/regions can be constructed by including in the 100p% confidence region all those points for which the significance test of the null hypothesis that the true value is the given value is not rejected at a significance level of (1-p).

ExamplesEdit

Practical exampleEdit

A machine fills cups with margarine, and is supposed to be adjusted so that the mean content of the cups is close to 250 grams of margarine. Of course it is not possible to fill every cup with exactly 250 grams of margarine. Hence the weight of the filling can be considered to be a random variable X. The distribution of X is assumed here to be a normal distribution with unknown expectation μ and (for the sake of simplicity) known standard deviation σ = 2.5 grams. To check if the machine is adequately adjusted, a sample of n = 25 cups of margarine is chosen at random and the cups weighed. The weights of margarine are $X_1,\dots,X_{25}$, a random sample from X.

To get an impression of the expectation μ, it is sufficient to give an estimate. The appropriate estimator is the sample mean:

$\hat \mu=\bar X=\frac{1}{n}\sum_{i=1}^n X_i.$

The sample shows actual weights $x_1,\dots,x_{25}$, with mean:

$\bar x=\frac {1}{25} \sum_{i=1}^{25} x_i = 250.2\,\mathrm{grams}$.

If we take another sample of 25 cups, we could easily expect to find values like 250.4 or 251.1 grams. A sample mean value of 280 grams however would be extremely rare if the mean content of the cups is in fact close to 250g. There is a whole interval around the observed value 250.2 of the sample mean within which, if the whole population mean actually takes a value in this range, the observed data would not be considered particularly unusual. Such an interval is called a confidence interval for the parameter μ. How do we calculate such an interval? The endpoints of the interval have to be calculated from the sample, so they are statistics, functions of the sample $X_1,\dots,X_{25}$ and hence random variables themselves.

In our case we may determine the endpoints by considering that the sample mean $\bar X$ from a normally distributed sample is also normally distributed, with the same expectation μ, but with standard error $\sigma/\sqrt{n} = 0.5$ (grams). By standardizing we get a random variable

$Z = \frac {\bar X-\mu}{\sigma/\sqrt{n}} =\frac {\bar X-\mu}{0.5}$

The above expression, standardizes your varible. This allows you to do this analysis, to calculate the 95% confidence interval. μ is some future measurement, sigma is your standard deviation, N is your sample size (in this case 25), and X bar is your sample mean (in this case 250.2). In order to calculate a confidence interval we first need to pick an α varible. Since we are interested in the 95% confidence interval, we set α = 0.05. Hence it is possible to find numbers −z and z, independent of μ, where Z lies in between with probability 1 − α. We take 1 − α = 0.95. So we have:

$P(-z\le Z\le z) = 1-\alpha = 0.95.$

The number z follows from the cumulative distribution function, which gives us are z value, and is valid becuase we standardized our big Z. (Also see probit). Therefore:

$\Phi(z) = P(Z \le z) = 1 - \frac{\alpha}2 = 0.975\,,$
$z=\Phi^{-1}(\Phi(z)) = \Phi^{-1}(0.975) = 1.96\,,$

and then we get:

$0.95 = 1-\alpha=P(-z \le Z \le z)=P \left(-1.96 \le \frac {\bar X-\mu}{\sigma/\sqrt{n}} \le 1.96 \right)$
$=P \left( \bar X - 1.96 \frac{\sigma}{\sqrt{n}} \le \mu \le \bar X + 1.96 \frac{\sigma}{\sqrt{n}}\right)$
$=P\left(\bar X - 1.96 \times 0.5 \le \mu \le \bar X + 1.96 \times 0.5\right)$
$=P \left( \bar X - 0.98 \le \mu \le \bar X + 0.98 \right).$

This might be interpreted as: with probability 0.95 to one we will choose a confidence interval in which we will meet the parameter μ between the stochastic endpoints, but that does not mean that possibility of meeting parameter μ in confidence interval is 95% :

$\bar X - 0{.}98$

and

$\bar X + 0.98.$

Every time the measurements are repeated, there will be another value for the mean $\bar X$ of the sample. In 95% of the cases μ will be between the endpoints calculated from this mean, but in 5% of the cases it will not be. The actual confidence interval is calculated by entering the measured weights in the formula. Our 0.95 confidence interval becomes:

$(\bar x - 0.98;\bar x + 0.98) = (250.2 - 0.98; 250.2 + 0.98) = (249.22; 251.18).\,$

This interval has fixed endpoints, where μ might be in between (or not). There is no probability of such an event. We cannot say: "with probability (1 − α) the parameter μ lies in the confidence interval." We only know that by repetition in 100(1 − α) % of the cases μ will be in the calculated interval. In 100α % of the cases however it doesn't. And unfortunately we don't know in which of the cases this happens. That's why we say: "with confidence level 100(1 − α) % μ lies in the confidence interval."

The figure on the right shows 50 realisations of a confidence interval for a given population mean μ. If we randomly choose one realisation, the probability is 95% we end up having chosen an interval that contains the parameter; however we may be unlucky and have picked the wrong one. We'll never know; we're stuck with our interval.

Theoretical exampleEdit

Suppose X1, ..., Xn are an independent sample from a normally distributed population with mean μ and variance σ2. Let

$\overline{X}=(X_1+\cdots+X_n)/n,\,$
$S^2=\frac{1}{n-1}\sum_{i=1}^n\left(X_i-\overline{X}\,\right)^2.$

Then

$T=\frac{\overline{X}-\mu}{S/\sqrt{n}}$

has a Student's t-distribution with n − 1 degrees of freedom. Note that the distribution of T does not depend on the values of the unobservable parameters μ and σ2; i.e., it is a pivotal quantity. If c is the 95th percentile of this distribution, then

$\Pr\left(-c

(Note: "95th" and "0.9" are correct in the preceding expressions. There is a 5% chance that T will be less than −c and a 5% chance that it will be larger than +c. Thus, the probability that T will be between −c and +c is 90%.)

Consequently

$\Pr\left(\overline{X}-cS/\sqrt{n}<\mu<\overline{X}+cS/\sqrt{n}\right)=0.9\,$

and we have a theoretical (stochastic) 90% confidence interval for μ.

After observing the sample we find values $\overline{x}$ for $\overline{X}$ and s for S, from which we compute the confidence interval

$[\overline{x}-cs/\sqrt{n},\overline{x}+cs/\sqrt{n}]\,$,

an interval with fixed numbers as endpoints, of which we can no more say there is a certain probability it contains the parameter μ. Either μ is in this interval or isn't.

Relation to hypothesis testingEdit

While the formulations of the notions of confidence intervals and of statistical hypothesis testing are distinct they are in some senses related and to some extent complementary. While not all confidence intervals are constructed in this way, one general purpose approach to constructing confidence intervals is to define a 100(1−α)% confidence interval to consist of all those values θ0 for which a test of the hypothesis θ=θ0 is not rejected at a significance level of 100α%. Such an approach may not always be available since it presupposes the practical availability of an appropriate significance test. Naturally, any assumptions required for the significance test would carry over to the confidence intervals.

It may be convenient to make the general correspondence that parameter values within a confidence interval are equivalent to those values that would not be rejected by an hypothesis test, but this would be dangerous. In many instances the confidence intervals that are quoted are only approximately valid, perhaps derived from "plus or minus twice the standard error", and the implications of this for the supposedly corresponding hypothesis tests are usually unknown.

Meaning and interpretationEdit

For users of frequentist methods, various interpretations of a confidence interval can be given.

• The confidence interval can be expressed in terms of samples (or repeated samples): "Were this procedure to be repeated on multiple samples, the calculated confidence interval (which would differ for each sample) would encompass the true population parameter 90% of the time." [5] Note that this need not be repeated sampling from the same population, just repeated sampling [6].
• The explanation of a confidence interval can amount to something like: "The confidence interval represents values for the population parameter for which the difference between the parameter and the observed estimate is not statistically significant at the 10% level"[7]. In fact, this relates to one particular way in which a confidence interval may be constructed.
• The probability associated with a confidence interval may also be considered from a pre-experiment point of view, in the same context in which arguments for the random allocation of treatments to study items are made. Here the experimenter sets out the way in which they intend to calculate a confidence interval and know, before they do the actual experiment, that the interval they will end up calculating has a certain chance of covering the true but unknown value. This is very similar to the "repeated sample" interpretation above, except that it avoids relying on considering hypothetical repeats of a sampling procedure that may not be repeatable in any meaningful sense.

In each of the above, the following applies. If the true value of the parameter lies outside the 90% confidence interval once it has been calculated, then an event has occurred which had a probability of 10% (or less) of happening by chance.

Users of Bayesian methods, if they produced an interval estimate, would by contrast want to say "My degree of belief that the parameter is in fact in this interval is 90%" [8]. See Credible interval. Disagreements about these issues are not disagreements about solutions to mathematical problems. Rather they are disagreements about the ways in which mathematics is to be applied.

Meaning of the term confidenceEdit

There is a difference in meaning between the common usage of the word 'confidence' and its statistical usage, which is often confusing to the layman. In common usage, a claim to 95% confidence in something is normally taken as indicating virtual certainty. In statistics, a claim to 95% confidence simply means that the researcher has seen something occur that only happens one time in twenty or less. If one were to roll two dice and get double six, few would claim this as proof that the dice were fixed, although statistically speaking one could have 97% confidence that they were. Similarly, the finding of a statistical link at 95% confidence is not proof, nor even very good evidence, that there is any real connection between the things linked.

When a study involves multiple statistical tests, some laymen assume that the confidence associated with individual tests is the confidence one should have in the results of the study itself. In fact, the results of all the statistical tests conducted during a study must be judged as a whole in determining what confidence one may place in the positive links it produces. If a study involving 40 statistical tests at 95% confidence was performed, about two of the tests can be expected to return false positives. If 3 links are found, the confidence associated with those links 'as the result of the survey' is actually about 32%; it's what should be expected two-thirds of the time.

Confidence intervals in measurement Edit

The results of measurements are often accompanied by confidence intervals. For instance, suppose a scale is known to yield the actual mass of an object plus a normally distributed random error with mean 0 and known standard deviation σ. If we weigh 100 objects of known mass on this scale and report the values ±σ, then we can expect to find that around 68% of the reported ranges include the actual mass.

If we wish to report values with a smaller standard error value, then we repeat the measurement n times and average the results. Then the 68.2% confidence interval is $\pm \sigma/\sqrt{n}$. For example, repeating the measurement 100 times reduces the confidence interval to 1/10 of the original width.

Note that when we report a 68.2% confidence interval (usually termed standard error) as v ± σ, this does not mean that the true mass has a 68.2% chance of being in the reported range. In fact, the true mass is either in the range or not. How can a value outside the range be said to have any chance of being in the range? Rather, our statement means that 68.2% of the ranges we report using ± σ are likely to include the true mass.

This is not just a quibble. Under the incorrect interpretation, each of the 100 measurements described above would be specifying a different range, and the true mass supposedly has a 68% chance of being in each and every range. Also, it supposedly has a 32% chance of being outside each and every range. If two of the ranges happen to be disjoint, the statements are obviously inconsistent. Say one range is 1 to 2, and the other is 2 to 3. Supposedly, the true mass has a 68% chance of being between 1 and 2, but only a 32% chance of being less than 2 or more than 3. The incorrect interpretation reads more into the statement than is meant.

On the other hand, under the correct interpretation, each and every statement we make is really true, because the statements are not about any specific range. We could report that one mass is 10.2 ± 0.1 grams, while really it is 10.6 grams, and not be lying. But if we report fewer than 1000 values and more than two of them are that far off, we will have some explaining to do.

It is also possible to estimate a confidence interval without knowing the standard deviation of the random error. This is done using the t distribution, or by using non-parametric resampling methods such as the bootstrap, which do not require that the error have a normal distribution.

Confidence intervals for proportions and related quantitiesEdit

An approximate confidence interval for a population mean can be constructed for random variables that are not normally distributed in the population, relying on the central limit theorem, if the sample sizes and counts are big enough. The formulae are identical to the case above (where the sample mean is actually normally distributed about the population mean). The approximation will be quite good with only a few dozen observations in the sample if the probability distribution of the random variable is not too different from the normal distribution (e.g. its cumulative distribution function does not have any discontinuities and its skewness is moderate).

One type of sample mean is the mean of an indicator variable, which takes on the value 1 for true and the value 0 for false. The mean of such a variable is equal to the proportion that have the variable equal to one (both in the population and in any sample). This is a useful property of indicator variables, especially for hypothesis testing. To apply the central limit theorem, one must use a large enough sample. A rough rule of thumb is that one should see at least 5 cases in which the indicator is 1 and at least 5 in which it is 0. Confidence intervals constructed using the above formulae may include negative numbers or numbers greater than 1, but proportions obviously cannot be negative or exceed 1. Additionally, sample proportions can only take on a finite number of values, so the central limit theorem and the normal distribution are not the best tools for building a confidence interval. See "Binomial proportion confidence interval" for better methods which are specific to this case.

ReferencesEdit

1. Goldstein, H., & Healey, M.J.R. (1995). "The graphical presentation of a collection of means." Journal of the Royal Statistical Society, 158, 175-77.
2. Wolfe R, Hanley J (Jan 2002). If we're so different, why do we keep overlapping? When 1 plus 1 doesn't make 2. CMAJ 166 (1): 65–6.
3. Zar, J.H. (1984) Biostatistical Analysis. Prentice Hall International, New Jersey. pp 43-45
4. Bernardo JE, Smith, Adrian (2000). Bayesian theory, 259, New York: Wiley.
5. Cox DR, Hinkley DV. (1974) Theoretical Statistics, Chapman & Hall, p49, 209
6. Kendall, M.G. and Stuart, D.G. (1973) The Advanced Theory of Statistics. Vol 2: Inference and Relationship, Griffin, London. Section 20.4
7. Cox DR, Hinkley DV. (1974) Theoretical Statistics, Chapman & Hall, p214, 225, 233
8. Cox DR, Hinkley DV. (1974) Theoretical Statistics, Chapman & Hall, p390
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