Credible Interval - Choosing A Credible Interval

Choosing A Credible Interval

Credible intervals are not unique on a posterior distribution. Methods for defining a suitable credible interval include:

  • Choosing the narrowest interval, which for a unimodal distribution will involve choosing those values of highest probability density including the mode.
  • Choosing the interval where the probability of being below the interval is as likely as being above it. This interval will include the median.
  • Assuming the mean exists, choosing the interval for which the mean is the central point.

It is possible to frame the choice of a credible interval within decision theory and, in that context, an optimal interval will always be a highest probability density set.

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