https://stats.stackexchange.com/questions/2272/whats-the-difference-between-a-confidence-interval-and-a-credible-interval user28: My understanding is as follows: Background Suppose that you have some data x x and you are trying to estimate θ θ . You have a data generating process that describes how x x is generated conditional on θ θ . In other words you know the distribution of x x (say, f ( x | θ ) f ( x | θ ) . Inference Problem Your inference problem is: What values of θ θ are reasonable given the observed data x x ? Confidence Intervals Confidence intervals are a classical answer to the above problem. In this approach, you assume that there is true, fixed value of θ θ . Given this assumption, you use the data x x to get to an estimate of θ θ (say, θ ^ θ ^ ). Once you have your estimate you want to assess where the true value is in relation t...