What is a critical value?

Steve Simon


Someone wrote in asking about the difference between a p-value and a critical value. I define a p-value on my web pages already. The critical value is typically a percentile from a particular distribution or some function of that percentile that a statistic is compared to. So, for example, a Z-statistic is often compared to the value of plus/minus 1.96. The plus/minus 1.96 is the critical value and it represents the 2.5%ile and 97.5%ile of a standard normal distribution.

You can find an earlier version of this page on my original website.