Credible intervals in the context of Interval (statistics)

In Bayesian statistics, a credible interval is an interval used to characterize a probability distribution. It is defined such that an unobserved parameter value has a particular probability ${\displaystyle \gamma }$ to fall within it. For example, in an experiment that determines the distribution of possible values of the parameter ${\displaystyle \mu }$, if the probability that ${\displaystyle \mu }$ lies between 35 and 45 is ${\displaystyle \gamma =0.95}$, then ${\displaystyle 35\leq \mu \leq 45}$ is a 95% credible interval.

Credible intervals are typically used to characterize posterior probability distributions or predictive probability distributions. Their generalization to disconnected or multivariate sets is called credible set or credible region.