Classical confidence limits are compared to Bayesian error bounds by studying
relevant examples. The performance of the two methods is investigated relative
to the properties coherence, precision, bias, universality, simplicity. A
proposal to define error limits in various cases is derived from the
comparison. It is based on the likelihood function only and follows in most
cases the general practice in high energy physics. Classical methods are
discarded because they violate the likelihood principle, they can produce
physically inconsistent results, suffer from a lack of precision and
generality. Also the extreme Bayesian approach with arbitrary choice of the
prior probability density or priors deduced from scaling laws is rejected.Comment: 16 pages, 12 figure
