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Wes_W comments on Error margins - Less Wrong Discussion
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Probabilities do not necessarily need confidence intervals. A probability is already an assessment of uncertainty.
Qualitatively Confused seems relevant. If you assign probability 0.8 that Jamie is at the club, it doesn't make sense to attach an error margin to this number. An error margin would mean something like "I think there is probability 0.8 that Jamie is at the club, but the real probability might be 0.2-0.9." But this is an error. Probability is map, not territory: there is no "real probability" that Jamie is at the club. He's either there or he's not, but you don't know which, and your degree of uncertainty is quantified as a probability.