lnames: Character vector giving the names of the desired MCMC sequence in the working session list of sequences.
pname: Character string giving the name of the parameter to be plotted.
bandwidth: Function for computing the bandwidth used in estimating the density functions for parameters. This should take one argument which is a numeric vector of data on which density estimation is to be performed. A constant bandwidth may be specified by having this function return the desired constant.
window: Character string giving the type of window used in estimating the density functions for the parameters. Available choices are "cosine", "gaussian", "rectangular", or "triangular".
annotate: Logical value indicating that a legend be included in the plot.
Returns
A logical value indicating that the plot was successfully created.