Estimates the highest probability density (HPD) interval for the given parameter draws. Uses the Chen and Shao algorithm assuming a unimodal marginal posterior distribution.
MCMC draws from the marginal posterior to use in computing the HPD.
Specifies the 100*(1 - alpha)% interal to compute.
A vector containing the lower and upper bound of the HPD interval, labeled "Lower Bound" and "Upper Bound", respectively.
Brian J. Smith
Chen, M-H. and Shao, Q-M. (1999). Monte Carlo estimation of Bayesian credible and HPD intervals. Journal of Computational and Graphical Statistics, 8(1), 69-92.
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