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.
HPDint(x, prob = 0.95)
a vector of posterior draws
desired probability coverage
a 2-vector with elements
Douglas Bates and Frank Harrell
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