Calculate highest posterior density (HPD) of array for given alpha. From Bayesian Analysis with Python: https://github.com/aloctavodia/BAP/blob/master/first_edition/code/Chp1/hpd.py

hpd.py

from __future__ import division
import numpy as np
import scipy.stats.kde as kde

def hpd_grid(sample, alpha=0.05, roundto=2):
    """Calculate highest posterior density (HPD) of array for given alpha. 
    The HPD is the minimum width Bayesian credible interval (BCI). 
    The function works for multimodal distributions, returning more than one mode

    Parameters
    ----------
    
    sample : Numpy array or python list
        An array containing MCMC samples
    alpha : float
        Desired probability of type I error (defaults to 0.05)
    roundto: integer
        Number of digits after the decimal point for the results

    Returns
    ----------
    hpd: array with the lower 
          
    """
    sample = np.asarray(sample)
    sample = sample[~np.isnan(sample)]
    # get upper and lower bounds
    l = np.min(sample)
    u = np.max(sample)
    density = kde.gaussian_kde(sample)
    x = np.linspace(l, u, 2000)
    y = density.evaluate(x)
    #y = density.evaluate(x, l, u) waitting for PR to be accepted
    xy_zipped = zip(x, y/np.sum(y))
    xy = sorted(xy_zipped, key=lambda x: x[1], reverse=True)
    xy_cum_sum = 0
    hdv = []
    for val in xy:
        xy_cum_sum += val[1]
        hdv.append(val[0])
        if xy_cum_sum >= (1-alpha):
            break
    hdv.sort()
    diff = (u-l)/20  # differences of 5%
    hpd = []
    hpd.append(round(min(hdv), roundto))
    for i in range(1, len(hdv)):
        if hdv[i]-hdv[i-1] >= diff:
            hpd.append(round(hdv[i-1], roundto))
            hpd.append(round(hdv[i], roundto))
    hpd.append(round(max(hdv), roundto))
    ite = iter(hpd)
    hpd = list(zip(ite, ite))
    modes = []
    for value in hpd:
         x_hpd = x[(x > value[0]) & (x < value[1])]
         y_hpd = y[(x > value[0]) & (x < value[1])]
         modes.append(round(x_hpd[np.argmax(y_hpd)], roundto))
    return hpd, x, y, modes