Highest Density Regions and Other Functions of Distributions //
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.