Why it's said when we estimate a parameter, from 100 confidence intervals, 95 will have the parameter. And why it is incorrect to say that is a 95% probability that the true parameter is in the confidence interval? Thank you in advance.
The confidence interval is only calculated once. For example if you construct a 95% confidence interval the interpretation is that in repeated sampling the interval will include the true parameter approximately in 95% of the cases. You do not actually generate multiple intervals because you have just the one sample. It is the procedure that works 95% of the time. So some intervals (approximately 5%) will not contain the true parameter. For the actual interval you generate just one confidence interval and the true parameter may or may not fall inside. The parameter is fixed and not random so it does not make sense to say that the probability is 0.95 that the interval contains the parameter. That kind of interpretation can be made with Bayesian credible intervals but not with confidence intervals that are a frequentist construct