Highest Density Regions are the smallest set in the support of a
probability distribution with the specified coverage probability.
'HDRs' may contain disjoint intervals, but can be calculated
efficiently using iterative methods. One can similarly construct
optimal (i.e., shortest) confidence intervals for some basic
inferential problems, including for population means, variances, or
proportion parameters.

Homepage:
https://CRAN.R-project.org/package=stat.extend
