R: Probability Interval

p.interval {LaplacesDemon}

R Documentation

Probability Interval

Description

This function returns one or more probability intervals of posterior samples.

Usage

p.interval(obj, HPD=TRUE, MM=TRUE, prob=0.95, plot=FALSE, PDF=FALSE, ...)

Arguments

`obj`	This can be either a vector or matrix of posterior samples, or an object of class `demonoid`, `iterquad`, `laplace`, `pmc`, or `vb`. If it is an object of class `demonoid`, then it will use only stationary posterior samples and monitored target distributions (automatically discarding the burn-in; if stationarity does not exist, then it will use all samples).
`HPD`	Logical. This argument defaults to `TRUE`, in which case one or more Highest Posterior Density (HPD) intervals is returned. When `FALSE`, one or more quantile-based probability intervals is returned.
`MM`	Logical. This argument defaults to `TRUE`, in which case each column vector is checked for multimodality, and if found, the multimodal form of a Highest Posterior Density (HPD) interval is additionally estimated, even when `HPD=FALSE`.
`prob`	This is a numeric scalar in the interval (0,1) giving the target probability interval, and defaults to 0.95, representing a 95% probability interval. A 95% probability interval, for example, is an interval that contains 95% of a posterior probability distribution.
`plot`	Logical. When `plot=TRUE`, each kernel density is plotted and shaded gray, and the area under the curve within the probability interval is shaded black. If the kernel density is considered to be multimodal, then up to three intervals are shaded black. A vertical, red, dotted line is added at zero. The `plot` argument defaults to `FALSE`.
`PDF`	Logical. When `PDF=TRUE`, and only when `plot=TRUE`, plots are saved as a .pdf file in the working directory.
`...`	Additional arguments are unused.

Details

A probability interval, also called a credible interval or Bayesian confidence interval, is an interval in the domain of a posterior probability distribution. When generalized to multivariate forms, it is called a probability region (or credible region), though some sources refer to a probability region (or credible region) as the area within the probability interval. Bivariate probability regions may be plotted with the joint.pr.plot function.

The p.interval function may return different probability intervals: a quantile-based probability interval, a unimodal Highest Posterior Density (HPD) interval, and multimodal HPD intervals. Another type of probability interval is the Lowest Posterior Loss (LPL) interval, which is calculated with the LPL.interval function.

The quantile-based probability interval is used most commonly, possibly because it is simple, the fastest to calculate, invariant under transformation, and more closely resembles the frequentist confidence interval. The lower and upper bounds of the quantile-based probability interval are calculated with the quantile function. A 95% quantile-based probability interval reports the values of the posterior probability distribution that indicate the 2.5% and 97.5% quantiles, which contain the central 95% of the distribution. The quantile-based probability interval is centered around the median and has equal-sized tails.

The HPD (highest posterior density) interval is identical to the quantile-based probability interval when the posterior probability distribution is unimodal and symmetric. Otherwise, the HPD interval is the smallest interval, because it is estimated as the interval that contains the highest posterior density. Unlike the quantile-based probability interval, the HPD interval could be one-tailed or two-tailed, whichever is more appropriate. However, unlike the quantile-based interval, the HPD interval is not invariant to reparameterization (Bernardo, 2005).

The unimodal HPD interval is estimated from the empirical CDF of the sample for each parameter (or deviance or monitored variable) as the shortest interval for which the difference in the ECDF values of the end-points is the user-specified probability width. This assumes the distribution is not severely multimodal.

As an example, imagine an exponential posterior distribution. A quantile-based probability interval would report the highest density region near zero to be outside of its interval. In contrast, the unimodal HPD interval is recommended for such skewed posterior distributions.

When MM=TRUE, the is.multimodal function is applied to each column vector after the unimodal interval (either quantile-based or HPD) is estimated. If multimodality is found, then multimodal HPD intervals are estimated with kernel density and printed to the screen as a character string. The original unimodal intervals are returned in the output matrix, because the matrix is constrained to have a uniform number of columns per row, and because multimodal HPD intervals may be disjoint.

Disjoint multimodal HPD intervals have multiple intervals for one posterior probability distribution. An example may be when there is a bimodal, Gaussian distribution with means -10 and 10, variances of 1 and 1, and a 95% probability interval is specified. In this case, there is not enough density between these two distant modes to have only one probability interval.

The user should also consider LPL.interval, since it is invariant to reparameterization like the quantile-based probability interval, but could be one- or two-tailed, whichever is more appropriate, like the HPD interval. A comparison of the quantile-based probability interval, HPD interval, and LPL interval is available here: https://web.archive.org/web/20150214090353/http://www.bayesian-inference.com/credible.

Value

A matrix is returned with rows corresponding to the parameters (or deviance or monitored variables), and columns "Lower" and "Upper". The elements of the matrix are the unimodal probability intervals. The attribute "Probability" is the user-selected probability width. If MM=TRUE and multimodal posterior distributions are found, then multimodal HPD intervals are printed to the screen in a character string.

Author(s)

Statisticat, LLC

References

Bernardo, J.M. (2005). "Intrinsic Credible Regions: An Objective Bayesian Approach to Interval Estimation". Sociedad de Estadistica e Investigacion Operativa, 14(2), p. 317–384.

Examples

##First, update the model with the LaplacesDemon function.
##Then
#p.interval(Fit, HPD=TRUE, MM=TRUE, prob=0.95)

[Package LaplacesDemon version 16.1.6 Index]