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Highest Posterior Density(HPD)

Hi Team,

If there is any way, please help me in calculating HPD manually (preferably  in Excel).

Narasimha Rao
asked Dec 4, 2017 by Narasimha Rao Tadekoru

1 Answer

0 votes

I am going to assume you already have your draws for the part-worth you want to compute the HPD for and that your draws have a unimodal (one peak) distribution.

If you are trying to compute a 95% HPD, then you are looking for the *narrowest* interval that contains 95% of your draws.  

Here are the steps in Excel:

1) Sort your draws for the column you are trying to compute the HPD for.

2) Figure out how many draws represents 95% of your data (assuming you're looking for a 95% interval), which would be:

k = (size of sample)*(0.95)

3) Compute 'item k' minus 'item 1'
Compute 'item k+1' minus 'item 2'
repeat until 'item n' minus 'item k-n'

4) Whichever result from step 3 is the smallest, those are the bounds of your 95% HPD.
answered Dec 4, 2017 by Kenneth Fairchild Bronze Sawtooth Software, Inc. (3,495 points)
Draws for the part-worth you want to compute the HPD