MC-estimation of HPD intervals

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Claus Möbus

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Dec 19, 2020, 6:36:27 AM12/19/20

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Dear all,

I'm missing good quantitative descriptions (MAP-estimators, HPDs) of the posteriors Infer generates. I found a recent article which seems to be relevant: Le, Pham, Nguyen & Pham, 2018, Improvement on Monte Carlo estimation of HPD intervals, Commun.Statistics, Simulation and Computation, 1-17, doi: 10.1080/03610918.2018.1513141

Before I start to code that procedure for and by myself, I want to ask the webdev community, whether somebody has such a library or function. I think that this is rather important for a PPL.