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What kind of confidence interval does scipy.stats.poisson.interval return? Is it normal approximation? I went on GitHub, but could not look it up in the code. How can I look it up in the code?

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It's not a confidence interval. The scipy.stats.poisson object is a subclass of the scipy.stats.rv_discrete class (i.e., its "parent" class). The parent class defines the .interval method here: http://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.rv_discrete.interval.html#scipy.stats.rv_discrete.interval

Specifically, this method returns an interval that gives equal probability on either side of the median. Unfortunately, they do erroneously call this a confidence interval, even though its just a plain old interval of a probability distribution. For example, a 90% interval would give the values that are at the 5th and 95th percentiles, since both of these are 45% above or below the median.

You'll notice that both this description on the one for the poisson both say that it is an interval that captures a alpha percent of the distribution. Hence, this is really not a confidence interval, but a probability interval (it contains alpha percent of the total probability).

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