Question

What happens to the confidence interval if you increase the confidence level?

Answer 1

The range of possible values for the parameter under discussion widens.

Explanation:

While studying the properties of a Normal Distribution, we calculate the 1 `sigma` limit, 2 `sigma` limit and the 3 `sigma` limit.

The 3 `sigma` limit simply means Pr {`mu` - 3`sigma` < x < `mu` + 3`sigma`] which is roughly 0.95.
When we increase the probability, naturally the range widens to include more values.
we talk about `6 sigma` as defining the quality of the process.