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Questions tagged [highest-density-region]

The smallest region over which a density exceeds a threshold. More useful for summarizing multimodal distributions than other probability regions. Frequently used in Bayesian statistics ("Highest Posterior Density Regions"). The term in one dimension is "Highest Density Interval".

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78 views

Highest Density Interval for the measure of central tendency

When samples are skewed, mean is not a good estimation of central tendency. But instead, median is a better choice. For cauchy distribution, I heard that there's a completely different estimator (...
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MC error propagation of multivariate function with variables with non-gaussian distribution

I'm trying to determine the error of $K_p$ in the following: $$K_p=\frac{a^3}{P^2}$$ $a$ derives from $a/R_s$, of which I had previously sampled the distribution using a MCMC sampler (the algorithm ...
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Is the boundary of an HDR a region of the sample space with equal density value?

After reading this question, I read in the reference provided (Hyndman, 1996, The American Statistician) the following: It follows inmediately from the definition that the boundary of an HDR ...
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How can I estimate the highest posterior density interval from a set of x,y values describing the PDF?

I'd like to estimate the Highest Posterior Density Interval (HPDI) of a calculated density function, rather than from empirical samples as is normally done (e.g., from an ...
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Bayesian hypotesis testing, can i use HPD?

I have a statistic question concerning the null hypotesis testing in bayesian inference. I red that i can use HPD for testing the null value in a linear bayesian regression: "We can then use the ...
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Highest posterior interval and monotone changes of variables

Suppose $X$ is distributed with a unimodal pdf $f(x)$ and let $Y = g(X)$ for some strictly monotone function $g$. Hence $g$ is invertible. Is there an analytically tractable relationship between the ...
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563 views

Highest Posterior Density (HPD) region of the marginals vs. of the joint distribution

In a Bayesian context, to analyse the posterior distribution, one can define the Highest Posterior Density (HPD) region or interval as $$\{\theta; \pi(\theta \mid x) \geq k\} $$ in both unidimensional ...
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284 views

How to determine the cut off value of an hyperellipsoid in order to retrieve a single quantile of a multivariate normal distribution?

Introduction My goal is to retrieve the $\alpha$ quantile of a N(0, H) (multivariate normal) random variable $X$ where H is a known d-dimensional positive definite matrix (with $d >3$). In other ...
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297 views

Computing Highest Density Region given multivariate normal distribution with dimension $d$ > 3

Background: Suppose I have a unimodal symmetric distribution of dimension $d$ > 3 such as the multivariate normal distribution ~ N(0, H), where H is a known $d$-dimensional covariance matrix. ...
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What would be the most appropriate method for constructing a bootstrap percentile confidence region?

The situation: let suppose we have a random variable that follows some parametric distribution $X\sim F_{\boldsymbol\theta}$, $\boldsymbol\theta\in\mathbb{R}^2$. We are provided with the bootstrap ...
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How to get multivariate credible interval estimate(s) / highest density regions (HDR) after MCMC

I'm estimating 15 parameters of my model using a Bayesian approach and a Markov Chain Monte Carlo (MCMC) method. My data after running a MCMC chain of 100000 samples is therefore a 100000×15 table of ...
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What is a Highest Density Region (HDR)?

In statistical inference, problem 9.6b, a "Highest Density Region (HDR)" is mentioned. However, I didn't find the definition of this term in the book. One similar term is the Highest Posterior ...
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Confidence intervals for bootstrap and FPC

I have a population that I am technically sampling without replacement using a stratified design. The resultant ratio estimator of the sample mean in any stratum $i$ is $\hat{R}_{i} = (\sum y_{i})/(\...