Computes credible interval(s) from a vector (or row-major matrix) of the
posterior(s) obtained by bayesian bootstrap.
-- Function File: CI = credint (Y)
-- Function File: CI = credint (Y, PROB)
'CI = credint (Y)' computes 95% credible intervals from the vector, or
rows* of the matrix, Y, where Y contains posterior (or Bayesian bootstrap)
statistics, such as those generated using the `bootbayes` function. The
credible intervals are shortest probability intervals (SPI), which
represent a more computationally stable version of the highest posterior
density interval [1,2].
* The matrix should have dimensions P * NBOOT, where P corresponds to
the number of parameter estimates and NBOOT corresponds to the number
of posterior (or Bayesian bootstrap) samples.
'CI = credint (Y, PROB)' returns credible intervals, where PROB is numeric
and sets the lower and upper bounds of the credible interval(s). The
value(s) of PROB must be between 0 and 1. PROB can either be:
<> scalar: To set the central mass of shortest probability intervals
to 100*PROB%
<> vector: A pair of probabilities defining the lower and upper
percentiles of the credible interval(s) as 100*(PROB(1))%
and 100*(PROB(2))% respectively.
The default value of PROB is the scalar: 0.95, for a 95% shortest
posterior credible interval.
Bibliography:
[1] Liu, Gelman & Zheng (2015). Simulation-efficient shortest probability
intervals. Statistics and Computing, 25(4), 809–819.
[2] Gelman (2020) Shortest Posterior Intervals.
https://discourse.mc-stan.org/t/shortest-posterior-intervals/16281/16
credint (version 2023.09.03)
Author: Andrew Charles Penn
https://www.researchgate.net/profile/Andrew_Penn/
Copyright 2019 Andrew Charles Penn
This program is free software: you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation, either version 3 of the License, or
(at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License
along with this program. If not, see http://www.gnu.org/licenses/
Package: statistics-resampling