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Coda, and other R packages, allow to calculate HPD intervals for multiple posterior chains. However, the HPD intervals are always calculated marginally per chain.

Is there a way in R to find the joint HPD interval, taking into account the correlation structure of the chains?

PerrySun
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  • A method here, not exactly providing what you want but providing simultaneous credible intervals [Bayesian simultaneous intervals ...](https://www.google.be/url?sa=t&rct=j&q=&esrc=s&source=web&cd=2&cad=rja&uact=8&ved=0ahUKEwjHprXOk63XAhWS-6QKHQ_0BZ4QFggxMAE&url=http%3A%2F%2Fwww.ccsenet.org%2Fjournal%2Findex.php%2Fijsp%2Farticle%2FdownloadSuppFile%2F20714%2F4106&usg=AOvVaw0ohjmB96tvxUExoNUrtxRY) – Stéphane Laurent Nov 07 '17 at 19:05

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