2015•Journal of Modern Applied Statistical MethodsOpen access

Comparison of Bayesian Credible Intervals to Frequentist Confidence Intervals

Kathy Gray, Brittany Star Hampton, Tony Silveti-Falls, Allison McConnell, Casey Bausell

Abstract

Frequentist confidence intervals were compared with Bayesian credible intervals under a variety of scenarios to determine when Bayesian credible intervals outperform frequentist confidence intervals. Results indicated that Bayesian interval estimation frequently produces results with precision greater than or equal to the frequentist method.

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Key concepts: Frequentist inference, Credible interval, Confidence interval, Statistics, Mathematics, Bayesian probability, Confidence distribution, CDF-based nonparametric confidence interval