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One-sided credible interval ((−∞,F−1(1−α)])

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Statistical inference Bayesian statistics Credible interval
2026-10-14  0 By others on same topic  0 Discussions Create my own version
A one-sided credible interval puts all excluded posterior probability in one tail. For a continuous posterior distribution, an upper bound u=F−1(1−α) satisfies P(Θ≤u∣D=d)=1−α; a lower bound uses F−1(α). Intersecting with the parameter's allowed range removes points of zero posterior probability. For the beta distribution Beta(10,4), the upper 95% bound is u≈0.887334219, so [0,u] is the alternative credible interval shown above.

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