Re: Highest Posterior Density


AB wrote:
Dear all,
how can I find an HPD using a statistical software (e.g. Mathematica)?
Thanks in advance

By HPD do you mean VALUE of the variable that corresponds to
the highest point of the posterior density in a problem using a
Bayesian method of inference?

You need to be able to supply the Bayesian ingredients of a prior
distribution for your parameter, be able to perform the integration to
obtain your posterior distribution of your PARAMETER (which is
the random variable in your posterior density). Most statistical
software should have some method for finding the maximum of a
function -- that part should be easy. You use it to find the value
of theta (the parameter) that maximized the posterior density.

-- Reef Fish Bob.

.

Relevant Pages

  • Re: Highest Posterior Density - AB is back...
    ... by "high posterior density" I mean an interval whose ... acronym of MAP which Illywhacker mistakenly assumed your HPD was, ... It's perhaps worth clarifying that a HPDI is only one possible credible interval: a credible interval just has to contain the correct amount of probability mass. ...
    (sci.stat.math)
  • Re: Highest Posterior Density
    ... how can I find an HPD using a statistical software (e.g. Mathematica)? ...
    (sci.stat.math)