scrBesag {bfp}

Simultaneous credible band computation (Besag, Green et al algorithm)

Description

Simultaneous credible band computation

Usage

scrBesag(samples, level=0.95)

Arguments

samples

m by n matrix where m is the number of parameters, n is the number of samples and hence each (multivariate) sample is a column in the matrix samples

level

the credible level (default: 0.95)

Details

Calculates a series of simultaneous credible bounds for one parameter type, following section 6.3 in the seminal paper "Bayesian computation and stochastic systems". The corresponding algorithm was invented by Peter Green.

Value

matrix with ‘lower’ and ‘upper’ rows

Author(s)

Thomas Kneib

References

J. Besag, P. Green, D. Higdon, K. Mengersen (1995): Bayesian computation and stochastic systems, Statistical Science 10/1, 3–41