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Construct an empirical highest posterior density (HPD) interval from samples which have been drawn from the distribution of a quantity of interest.
empiricalHpd(theta, level)A vector with the estimated lower and upper bounds of the HPD interval.
the vector of samples
the credible level
Daniel Saban\'es Bov\'e
## draw standard normal variates
test <- rnorm(n=1000)
## estimate the 95% HPD interval with these samples:
empiricalHpd(theta=test, level=0.95)
## compare with true HPD:
qnorm(p=c(0.025, 0.975))
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