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Level of Significance

When observing a random process, there is always a certain probability that the results are above some threshold. The probability of this threshold being exceeded is called the level of significance a.This term originates from statistical tests, where the random process is the test statistic. If the test statistic exceeds the threshold zx, the probability of making an error is a.

Figure 3a

The shaded area of the distribution density above specifies the probability that the outcome z of an experiment exceeds the threshold value zx. Please note that in some cases, the interesting question may implicitly refer to two thresholds, as shown below:

Figure 3b

In this case, the level of significance is the sum of the areas below -zx and above +zx.

Last Update: 2004-Jul-03