Question

What is statistical significance?

Answer 1

Statistical significance or the level of significance is a factor in deriving a test procedure.

Explanation:

The level of significance is generally taken as 5%. In some case, it can be 1% or 10% or 2%.

Here, let me explain the meaning of 5% level of significance.
By the property of a normal variate, we know that
Pr[`mu` - 3`sigma` < x < `mu` + 3`sigma`] is approximately .95
In other words, it is expected that in only 5% cases, the value of the random variable is expected to be outside the range mentioned above.
Hence, a null hypothesis rejected by a statistical test procedure, we say that the difference is statistically significant.