Create Highest Posterior Density (HPD) intervals for the parameters in an MCMC sample.
HPDinterval(obj, prob = 0.95, ...)
# S3 method for mcmc
HPDinterval(obj, prob = 0.95, ...)
# S3 method for mcmc.list
HPDinterval(obj, prob = 0.95, ...)For an "mcmc" object, a matrix with columns "lower" and
"upper" and rows corresponding to the parameters. The
attribute "Probability" is the nominal probability content of
the intervals. A list of such matrices is returned for an
"mcmc.list" object.
The object containing the MCMC sample - usually of class
"mcmc" or "mcmc.list"
.
A numeric scalar in the interval (0,1) giving the target
probability content of the intervals. The nominal probability
content of the intervals is the multiple of 1/nrow(obj)
nearest to prob.
Optional additional arguments for methods. None are used at present.
Douglas Bates
For each parameter the interval is constructed from the empirical cdf of the sample as the shortest interval for which the difference in the ecdf values of the endpoints is the nominal probability. Assuming that the distribution is not severely multimodal, this is the HPD interval.