In statistics, the coverage probability of a confidence interval is the proportion of the time that the interval contains the true value of interest. For example, suppose our interest is in the mean number of months that people with a particular type of cancer remain in remission following successful treatment with chemotherapy. The confidence interval aims to contain the unknown mean remission duration with a given probability. This is the “confidence level” or “confidence coefficient” of the constructed interval which is effectively the “nominal coverage probability” of the procedure for constructing confidence intervals. The “nominal coverage probability” is often set at 0.95. The coverage probability is the actual probability that the interval contains the true mean remission duration in this example. … Coverage Probability