Coverage probability of the NPE model. The plot depicts the coverage probability as a function of the credibility level 1 - α. The solid blue lines represent the model’s coverage probabilities, while the dashed line indicates the ideal scenario in which the coverage probability exactly matches the credibility level. In this ideal case, the parameter values θ used to generate the data x are contained in the 1 - α highest posterior density regions of the approximate posteriors p_φ (θ|x) exactly 1 - α% of the time.