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Our current HDI estimator hdi assumes the distribution is unimodal. To support multimodal distributions, we would first fit a KDE (or histogram for discrete points) to the draws and then find the HDI from that. This is mostly useful for plotting.
We should also look into estimating the HDI from average shifted histograms (see e.g. https://github.com/joshday/AverageShiftedHistograms.jl), as these are much faster to compute than the KDE. Probably a simulation study is necessary to compare both performance and accuracy of estimating known HDIs from KDE vs ASH.
Our current HDI estimator
hdi
assumes the distribution is unimodal. To support multimodal distributions, we would first fit a KDE (or histogram for discrete points) to the draws and then find the HDI from that. This is mostly useful for plotting.Once #6 is complete, this could probably be easily done with https://github.com/tpapp/HighestDensityRegions.jl. See also Python ArviZ's implementation.
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