Coverage Probability

Definition

The coverage probability (coverage) is the probability that a confidence interval or region will include the true value (parameter) of interest. $\mathrm{Coverage}:=\frac{1}{|{\mathcal{D}}_{\text{ text}}|}\sum _{i\in {\mathcal{D}}_{\text{test}}}1(Y_i\in C(X_i))$ where $\mathcal{D}$ is the test samples, and $C$ is the prediction set/interval of $X_i$.