Let Y ∼N(μ,1) for μ unknown. Use the fact that P(|Y −μ|< 1.96σ) ≈0.95 to construct a random interval (a(Y ),b(Y )) (that is, an interval whose endpoints are r.v.s), such that the probability that μ is in the interval is approximately 0.95. This interval is called a confidence interval for μ; such intervals are often desired in statistics when estimating unknown parameters based on data.

MATLAB: An Introduction with Applications
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Let Y ∼N(μ,1) for μ unknown. Use the fact that P(|Y −μ|< 1.96σ) ≈0.95 to
construct a random interval (a(Y ),b(Y )) (that is, an interval whose endpoints are r.v.s), such
that the probability that μ is in the interval is approximately 0.95. This interval is called
a confidence interval for μ; such intervals are often desired in statistics when estimating
unknown parameters based on data.

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