The function cred_set() takes a length T vector of posterior change-point
location probabilities prob and a coverage level level, and returns the
smallest set of indices s such that prob[s] > level.
Arguments
- prob
A numeric vector. A vector of posterior probabilities for the
location of the change-point.
- level
A scalar. A single number in (0,1) that gives the lower bound
for the probability that the credible set contains a change-point.
Value
A vector. A Level level posterior credible set for the location of
a single change-point.
