Confidence functions in DAX are used to help compute confidence intervals about the average value called the sample mean. The value that gets returned is the margin of error (ME ) defined as:
CV stands for the critical value which is determined based on the significance level alpha that you specify.
For a 95% confidence interval, alpha is set to 0.05
There are two types of CONFIDENCE functions in DAX. The first, CONFIDENCE.NORM(alpha,standard_dev,size) returns the calculation of the margin of error for the normal distribution. The second, returns the margin of error for the student's T distribution:
Margin of error = CONFIDENCE.NORM(0.05,10,30)
This returns a value of 3.58
Margin of Error = CONFIDENCE.T(0.05,10,30)
This returns a value of 3.73
When used with the sample mean, $\bar{x}$, one can specifiy a range of values the true population mean, $\mu$ falls within.
For example suppose the sample mean, $\bar{x}$ has a value of 20. Using the margin error above our confidence interval becomes:
Using the normal approximation, the true population value is between 16.42 and 23.58 19 times out of 20. (ie. 95% of the time).
A Student's T distribution always returns a slightly higher value then the normal distribution and has slightly "fatter tails" which result in a slight higher probability that extreme values will be observed. When you have a large sample size, the two distributions converge. This means the confidence intervals will be the approximately the same.