Solved – Interpret confidence interval upper and lower in linear regression

confidence intervalregression

I'm struggling to understand the output of a linear regression analysis, specifically with respect to the Confidence Interval Lower and Upper values. I understand all of the other values, but I can't seem to relate the CI values reported to my 'very general' understanding of CI's.

My specific output is shown below. Any insight into what these numbers indicate would be very helpful.

Linear Regression Results

Best Answer

The 95% in your 95% CI (assuming it is a 95% CI) refers to its long run "coverage" rate of the parameter you're estimating--in this case, regression intercepts and slopes. Kristoffer Magnusson has a nice intuitive visualization of this property of CIs which is often misinterpreted, as @whuber points out above. In essence, if you were to repeatedly draw random samples from the same population of the same size and fit the same model in each, 95% of CIs would contain the population value. If you're looking at Magnusson's visualization, watch the coverage rate over time (i.e., how many randomly sampled CIs from a simulated distribution actually contain the population mean), and you'll see that it begins to approach the level of confidence you specify in the long run.

For example, with your CI for sd_qty, you can't be sure (e.g. you cannot be "95% confident") that the true value of its slope is between -0.034 and .011, but you can be confident that if you were to re-fit this model with 100 random samples of the same size, from the same population, approximately 95/100 of the CIs for sd_qty would contain the population value for that slope.

In terms of interpreting the CI for the purposes of null-hypothesis significance testing, you look to see whether the expected null value is within the CI (for slopes, this expected null value is often [but doesn't have to be] 0); if it is not, you can reject the null hypothesis at the corresponding level of $\alpha$ (e.g., $\alpha$ = .05 for a 95% CI)--your 95% CI for ROC_DSRS_5 does not contain 0, for example, so we could reject the null for this slope. Otherwise, if the expected null value falls within the CI, you fail to reject the null as the interval suggests the estimated value [or one more extreme] would not be all that unusual if the null were true, such as in the case for the 95% CI of sd_qty, which straddles 0.