A credible set is a measurable set of parameter values containing specified posterior probability. At credibility level , it satisfies for a continuous posterior. A credible interval is a credible set that is an interval. Equal-tailed and highest-density choices add selection rules; the posterior-mass requirement alone does not make the set unique. Its probability statement is conditional on the observed data and prior model, whereas a frequentist confidence interval is interpreted through repeated-sample coverage.
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