The Support Interval

A frequentist confidence interval can be constructed by inverting a hypothesis test, such that the interval contains only parameter values that would not have been rejected by the test. We show how a similar definition can be employed to construct a Bayesian support interval. Consistent with Carnap’s theory of corroboration, the support interval contains only parameter values that receive at least some minimum amount of support from the data. The support interval is not subject to Lindley’s paradox and provides an evidence-based perspective on inference that differs from the belief-based perspective that forms the basis of the standard Bayesian credible interval.