R/CredibleSet.R

In statwangz/SuSiE: A simple new approach to variable selection in regression, with application to genetic fine-mapping

#' Credible Set
#'
#' @param alpha a p-vector, posterior probabilities
#' @param rho level
#'
#' @return A credible set
#' @export
CredibleSet <- function(alpha, rho = 0.95) {
  p <- length(alpha)
  order_dec <- order(alpha, decreasing = T)

  S <- 0
  for (i in 1:p) {
    index <- order_dec[i]
    S <- S + alpha[index]
    if (S >= rho) {
      break
    }
  }

  index <- order_dec[1:i]
  return(index)
}