HDIofMCMC.R

HDIofMCMC = function( sampleVec , credMass=0.95 ) {
  # Computes highest density interval from a sample of representative values,
  #   estimated as shortest credible interval.
  # Arguments:
  #   sampleVec
  #     is a vector of representative values from a probability distribution.
  #   credMass
  #     is a scalar between 0 and 1, indicating the mass within the credible
  #     interval that is to be estimated.
  # Value:
  #   HDIlim is a vector containing the limits of the HDI
  sortedPts = sort( sampleVec )
  ciIdxInc = floor( credMass * length( sortedPts ) )
  nCIs = length( sortedPts ) - ciIdxInc
  ciWidth = rep( 0 , nCIs )
  for ( i in 1:nCIs ) {
    ciWidth[ i ] = sortedPts[ i + ciIdxInc ] - sortedPts[ i ]
  }
  HDImin = sortedPts[ which.min( ciWidth ) ]
  HDImax = sortedPts[ which.min( ciWidth ) + ciIdxInc ]
  HDIlim = c( HDImin , HDImax )
  return( HDIlim )
}