Highest Posterior Density Interval
HPDint(x, prob = 0.95)
a vector of posterior draws
desired probability coverage
a 2-vector with elements Lower
and Upper
Adapts code from coda::HPDinterval
to compute a highest posterior density interval from posterior samples for a single parameter. Quoting from the coda
help file, 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.