hpdparameter

This function returns the upper and lower bound of the Highest
Posterior Density (HPD) for a parameter based on the Chen-Shao Highest
Posterior Density (HPD) Estimation Algorithm found in the book by Chen, Shao,
and Ibrahim (2000). (The smallest 95% credible interval will be given by the
HPD using alpha = 0.05)

The Ensemble Quadratic and Affine Invariant Markov chain Monte
Carlo algorithms provide an efficient way to perform Bayesian inference in
difficult parameter space geometries. The Ensemble Quadratic Monte Carlo
algorithm was developed by Militzer (2023) <doi:10.3847/1538-4357/ace1f1>.
The Ensemble Affine Invariant algorithm was developed by Goodman and Weare
(2010) <doi:10.2140/camcos.2010.5.65> and it was implemented in Python by
Foreman-Mackey et al (2013) <doi:10.48550/arXiv.1202.3665>. The Quadratic
Monte Carlo method was shown to perform better than the Affine Invariant
method in the paper by Militzer (2023) <doi:10.3847/1538-4357/ace1f1> and
the Quadratic Monte Carlo method is the default method used. The Chen-Shao
Highest Posterior Density Estimation algorithm is used for obtaining
credible intervals and the potential scale reduction factor diagnostic is
used for checking the convergence of the chains.

Weston Roda

QAEnsemble

Ensemble Quadratic and Affine Invariant Markov Chain Monte Carlo

Karsten Hempel

Sasha van Katwyk

Diepreye Ayabina

Children's Hospital of Eastern Ontario 

Canada's Drug Agency 

Institute of Health Economics 

hpdparameter function

<dl><dt>parameter_MCMC</dt>
<dd>a vector of the parameter samples for a single
estimated parameter</dd>
<dt>alpha</dt>
<dd>100(1 - alpha)% credible interval with the default value as
alpha = 0.05</dd></dl>

Arguments

Highest Posterior Density (HPD) for a parameter — hpdparameter

<dl>

<dt>parameter_MCMC</dt>
<dd>a vector of the parameter samples for a single
estimated parameter</dd>


<dt>alpha</dt>
<dd>100(1 - alpha)% credible interval with the default value as
alpha = 0.05</dd>

</dl>

hpdparameter: Highest Posterior Density (HPD) for a parameter

Description

Usage

Value

Arguments

References

Examples