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# These functions were written by Greg Snow (greg.snow@ihc.com)
# They are free to use, but come with no warrenty whatsoever
# use at your own risk (not that I can think of anything bad that
# they would do).
hpd <- function(posterior.icdf, conf=0.95, tol=0.00000001,...){
conf <- min( conf, 1-conf )
f <- function(x,posterior.icdf,conf,...){
posterior.icdf(1-conf+x,...) - posterior.icdf(x,...)
}
out <- optimize(f, c(0,conf), posterior.icdf = posterior.icdf,
conf=conf, tol=tol, ...)
return( c( posterior.icdf(out$minimum,...),
posterior.icdf(1-conf+out$minimum,...) ) )
}
emp.hpd <- function(x, conf=0.95){
conf <- min(conf, 1-conf)
n <- length(x)
nn <- round( n*conf )
x <- sort(x)
xx <- x[ (n-nn+1):n ] - x[1:nn]
m <- min(xx)
nnn <- which(xx==m)[1]
return( c( x[ nnn ], x[ n-nn+nnn ] ) )
}
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