Identifying a reasonably small Hilbert space that completely describes an unknown quantum state is crucial for efficient quantum information processing. We introduce a general dimension-certification protocol for both discrete and continuous variables that is fully evidence based, relying solely on the experimental data collected and no other unjustified assumptions whatsoever. Using the Bayesian concept of relative belief, we take the effective dimension of the state as the smallest one such that the posterior probability is larger than the prior, as dictated by the data. The posterior probabilities associated with the relative-belief ratios measure the strength of the evidence provide by these ratios so that we can assess whether there is weak or strong evidence in favor or against a particular dimension. Using experimental data from spectral-temporal and polarimetry measurements, we demonstrate how to correctly assign Bayesian plausible error bars for the obtained effective dimensions. This makes relative belief a conservative and easy-to-use model-selection method for any experiment.