18/11/15 22:03:57.30 u639IIxL.net
DRAFT
非対称分布をする離散量の９５％Highest Density Intervalを算出する。
pmf2hdi <- function(pmf,conf.level=0.95){ # pmf 2 higest density interval indices
pdf=pmf/sum(pmf) # sum(pdf)==1
hist(pdf,breaks = length(pdf),ann=FALSE)
spdf=sort(pdf,decreasing=TRUE) # sort pdf from highest
cdf=cumsum(spdf) # culmutive probability
threshold=spdf[which(cdf>=conf.level)[1]]
# which(cdf>conf.level)[1] : cdf.index of 1st value when cdf > 0.95
# threshold : its corresponding spdf value
index=which(pdf>=threshold) # pdf.index whose value > threshold
clevel=sum(pdf[index]) # actual conf.level, a little bit greater than 0.95
n.index=length(index)
if(n.index==index[n.index]-index[1]+1){ # check if unimodal by its length
interval=c(index[1],index[n.index])
print(c(lower=pmf[index[1]],upper=pmf[index[n.index]])) # lower and upper when unimodal
}else{interval=index
}
list(indices=interval,actual.CI=clevel)
}