Can we create an instance of an interface in Java?

You can never instantiate an interface in java. You can, however, refer to an object that implements an interface by the type of the interface. For example,

public interface A
{
}
public class B implements A
{
}

public static void main(String[] args)
{
    A test = new B();
    //A test = new A(); // wont compile
}

What you did above was create an Anonymous class that implements the interface. You are creating an Anonymous object, not an object of type interface Test.

Yes, your example is correct. Anonymous classes can implement interfaces, and that's the only time I can think of that you'll see a class implementing an interface without the "implements" keyword. Check out another code sample right here:

interface ProgrammerInterview {
    public void read();
}

class Website {
    ProgrammerInterview p = new ProgrammerInterview() {
        public void read() {
            System.out.println("interface ProgrammerInterview class implementer");
        }
    };
}

This works fine. Was taken from this page:

http://www.programmerinterview.com/index.php/java-questions/anonymous-class-interface/

Normaly, you can create a reference for an interface. But you cant create an instance for interface.