1d:T72a,# Compute a simultaneous credible region (rectangle) from a sample for a vector valued parameter. See references below for more details. The function has been originally written for the archived `bayesSurv` package. ```r credible.region(sample, probs=c(0.90, 0.975)) ``` ## Arguments - `sample`: a data frame or matrix with sampled values (one column = one parameter) - `probs`: probabilities for which the credible regions are to be computed ## Returns A list (one component for each confidence region) of length equal to `length(probs)`. Each component of the list is a matrix with two rows (lower and upper limit) and as many columns as the number of parameters giving the confidence region. ## Examples ```r m <- 10000 sample <- data.frame(x1=rnorm(m), x2=rnorm(m), x3=rnorm(m)) probs <- c(0.70, 0.90, 0.95) CR <- credible.region(sample, probs=probs) for (kk in 1:length(CR)){ suma <- sum(sample$x1 >= CR[[kk]]["Lower", "x1"] & sample$x1 <= CR[[kk]]["Upper", "x1"] & sample$x2 >= CR[[kk]]["Lower", "x2"] & sample$x2 <= CR[[kk]]["Upper", "x2"] & sample$x3 >= CR[[kk]]["Lower", "x3"] & sample$x3 <= CR[[kk]]["Upper", "x3"]) show <- c(suma/m, probs[kk]) names(show) <- c("Empirical", "Desired") print(show) } ``` ## References Besag, J., Green, P., Higdon, D. and Mengersen, K. (1995). Bayesian computation and stochastic systems (with Discussion). **Statistical Science,** 10 , 3 - 66, page 30 Held, L. (2004). Simultaneous inference in risk assessment; a Bayesian perspective **In: COMPSTAT 2004, Proceedings in Computational Statistics (J. Antoch, Ed.),** 213 - 222, page 214 Held, L. (2004b). Simultaneous posterior probability statements from Monte Carlo output. **Journal of Computational and Graphical Statistics,** 13 , 20 - 35. ## Author(s) Arnost Komarek

credible.region function