Coverage probability

Coverage probability is a measure of how often an interval (like a range of numbers) includes an unknown quantity we are trying to estimate. The coverage probability helps us to understand how confident we should be that the interval will capture the true value. It is like a game of guessing where the secret number is between 1 and 10. If you decide to guess a range of between 3 and 8, then the coverage probability measures how likely it is that the secret number is in that range. The higher the coverage probability, the more likely it is that the range includes the secret number.