Creation of Credible set based on HPD
T he Bayesian approach is much more different from the usual inference procedure that we are used to. The first and the most important part is that here we consider some prior information about θ and based on our data, we want to improve the information of θ for a further purpose, called posterior information . So the θ is a random quality here. Hence the estimation procedure becomes different from the usual one and totally based on the posterior information about the θ , π ( θ | x ) which is the conditional distribution of θ given data. Credible Set For an interval estimation in Bayesian Inference, we find a Credible Interval or perhaps sometimes a credible set within which the θ lies with a certain confidence. An interval [ l ( x ) , u ( x )] based on the observed values x is called a credible interval at confidence level 1 - α if ...