A Gentle Introduction to Statistical Tolerance Intervals in Machine Learning

It can be useful to have an upper and lower limit on data. These bounds can be used to help identify anomalies and set expectations for what to expect. A bound on observations from a population is called a tolerance interval. A tolerance interval is different from a prediction interval that quantifies the uncertainty for a single predicted value. It is also different from a confidence interval that quantifies the uncertainty of a population parameter such as a mean.