# Neyman construction

Neyman construction is a frequentist method to construct an interval at a confidence level ${\displaystyle C\,}$ that if we repeat the experiment many times the interval will contain the true value a fraction ${\displaystyle C\,}$ of the time.

## Coverage probability

The probability that the interval contains the true value is called the coverage probability.

## Implementation

A Neyman construction is carried out by performing pseudo-experiments, i.e. constructing data sets corresponding to a given value of the parameter. The pseudo-experiments are fitted with conventional methods, and the space of fitted parameter values constitutes the band of which the confidence interval can be selected from.