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A note on the construction of highest posterior density intervals. (English) Zbl 0601.62049
This note deals with the numerical construction of highest posterior density intervals and the related problem of evaluating tail area probabilities. The methods described are applicable to univariate unimodal probability density functions. The problem of making inferences about the spread of a normal distribution is used as an example.

MSC:
62F25 Parametric tolerance and confidence regions
62F15 Bayesian inference
65C99 Probabilistic methods, stochastic differential equations
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