What is a 95% confidence interval?
The 95%-confidence interval equals the reported effect estimate plus or minus 1.96 times the standard error estimate of this estimate. The standard error is estimated as the empirical standard deviation of the influence curve divided by the square root of the sample size. Assuming that the data rows represent independent and identically distributed random variables, the central limit theorem tells us that for large enough sample sizes, the confidence interval (viewed as a random interval) will contain the true effect with a probability of approximately 0.95. The confidence interval can therefore be viewed as the range of plausible values for the variable importance of interest.
