I have been trying to use Wolfram Mathematica in order to plot High Density Regions (HDR) using Whiskered Box Plots. I'm aware that the whole thing could be done manually. Is anyone aware of any command for choosing HDRs of a given PDF and then plotting the resulting intervals and whiskers?
You might want to show what you've tried and maybe explain the connection between High Density Regions for a probability distribution function and a Whiskered Box Plot (using the BoxWhiskerChart command) which shows pretty limited information. Possibly https://stackoverflow.com/questions/42986446/determining-high-density-region-for-a-distribution-in-r describes what you want?
Dear Jim, thank you for your quick answer. It's actually the first time I'm using the users' forum so I was not very sure whether it's effective or not. The Highest Density Region (HDR) is precisely what's on the link you posted. It's a way to describe a probability distribution that considers only those realisations of the random variable with probabilities higher than a certain value. I'm working on nonlinear estimation of time series, and the way I'm presenting the Generalised Impulse Response Functions is by means of the HDR (according to Hyndman, 96). So right now I have the intervals in which the HDR lies but I don't know how to plot it using box plots. The whiskers are just vertical lines above and below the box that cover the 99% of highest density observations. Any ideas? Thanks again for your help.