What is confidence interval?

What is confidence interval?

Approach: Define as random interval containing parameter with specified probability.

Random interval [L(X), U(X)] such that P(θ ∈ [L,U]) = 1-α. For normal mean with known variance: ̄x ± z_{α/2} σ/√n.

Follow-up: Interpretation: frequentist vs Bayesian.

Key concepts: coverage probability, interval estimate, frequentist inference.