R/hdi_function.R

In yarrr: A Companion to the e-Book "YaRrr!: The Pirate's Guide to R"

# This hdi function was written by Kruschke in the BEST package
#    https://github.com/cran/BEST/blob/master/R/hdi.R

hdi <- function(object, credMass=0.95, ...) UseMethod("hdi")

hdi.default <- function(object, credMass=0.95, ...) {
  if(!is.numeric(object))
    stop(paste("No applicable method for class", class(object)))
  if(is.na(credMass) || length(credMass) != 1 || credMass <= 0 || credMass >= 1)
    stop("credMass must be in 0 < credMass < 1")
  if(all(is.na(object)))
    return(c(lower = NA_real_, upper = NA_real_))
  # This is Mike's code from way back:
  x <- sort(object)  # also removes NAs
  n <- length(x)
  # exclude <- ceiling(n * (1 - credMass)) # Not always the same as...
  exclude <- n - floor(n * credMass)       # Number of values to exclude
  low.poss <- x[1:exclude]             # Possible lower limits...
  upp.poss <- x[(n - exclude + 1):n]   # ... and corresponding upper limits
  best <- which.min(upp.poss - low.poss)      # Combination giving the narrowest interval
  result <- c(lower = low.poss[best], upper = upp.poss[best])

  attr(result, "credMass") <- credMass
  return(result)
}

hdi.matrix <- function(object, credMass=0.95, ...) {
  result <- apply(object, 2, hdi.default, credMass=credMass, ...)
  attr(result, "credMass") <- credMass
  return(result)
}

hdi.data.frame <- function(object, credMass=0.95, ...)
  hdi.matrix(as.matrix(object), credMass=credMass, ...)


hdi.mcmc.list <- function(object, credMass=0.95, ...)
  hdi.matrix(as.matrix(object), credMass=credMass, ...)

# hdi.bugs <- function(object, credMass=0.95, ...)
# hdi.matrix(object$sims.matrix, credMass=credMass, ...)

# hdi.rjags <- function(object, credMass=0.95, ...)
# hdi.matrix(object$BUGSoutput$sims.matrix, credMass=credMass, ...)

hdi.function <- function(object, credMass=0.95, tol, ...)  {
  if(is.na(credMass) || length(credMass) != 1 || credMass <= 0 || credMass >= 1)
    stop("credMass must be in 0 < credMass < 1")
  if(missing(tol))
    tol <- 1e-8
  if(class(try(object(0.5, ...), TRUE)) == "try-error")
    stop(paste("Incorrect arguments for the inverse cumulative density function",
               substitute(object)))
  # cf. code in Kruschke 2011 p630
  intervalWidth <- function( lowTailPr , ICDF , credMass , ... ) {
    ICDF( credMass + lowTailPr , ... ) - ICDF( lowTailPr , ... )
  }
  optInfo <- optimize( intervalWidth , c( 0 , 1.0 - credMass) , ICDF=object ,
                       credMass=credMass , tol=tol , ... )
  HDIlowTailPr <- optInfo$minimum
  result <- c(lower = object( HDIlowTailPr , ... ) ,
              upper = object( credMass + HDIlowTailPr , ... ) )
  attr(result, "credMass") <- credMass
  return(result)
}


hdi.density <- function(object, credMass=0.95, allowSplit=FALSE, ...) {
  if(is.na(credMass) || length(credMass) != 1 || credMass <= 0 || credMass >= 1)
    stop("credMass must be in 0 < credMass < 1")
  sorted = sort( object$y , decreasing=TRUE )
  heightIdx = min( which( cumsum( sorted) >= sum(object$y) * credMass ) )
  height = sorted[heightIdx]
  indices = which( object$y >= height )
  # HDImass = sum( object$y[indices] ) / sum(object$y)
  gaps <- which(diff(indices) > 1)
  if(length(gaps) > 0 && !allowSplit) {
    # In this case, return shortest 95% CrI
    warning("The HDI is discontinuous but allowSplit = FALSE;
            the result is a valid CrI but not HDI.")
    cumul <- cumsum(object$y) / sum(object$y)
    upp.poss <- low.poss <- which(cumul < 1 - credMass)
    for (i in low.poss)
      upp.poss[i] <- min(which(cumul > cumul[i] + credMass))
    # all(cumul[upp.poss] - cumul[low.poss] > credMass) # check
    width <- upp.poss - low.poss
    best <- which(width == min(width))  # usually > 1 value due to ties
    result <- c(lower = mean(object$x[low.poss[best]]),
                upper = mean(object$x[upp.poss[best]]))
  } else {
    begs <- indices[c(1, gaps + 1)]
    ends <- indices[c(gaps, length(indices))]
    result <- cbind(begin = object$x[begs], end = object$x[ends])
    if(!allowSplit)
      names(result) <- c("lower", "upper")
  }
  attr(result, "credMass") <- credMass
  attr(result, "height") <- height
  return(result)
}