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...of its realizations. The tightest region was shown by Kendall et al (2007, Statistics and Computing, 17, 1) to have boundaries well approximated by: a + b*sqrt(t) (where a and b have to be adjusted to get the correct coverage probability). These 2 parameters are found using the method of Loader and Deely (J Statist Comput Simulation, 27, 95). The latter method is also implemented for arbitrary boundaries. The tight case uses C code while the general case uses pure R code (which is reasonably fast). Error bounds are also computed. * Utility functions have been added to estimate the conditional inte...

...of its realizations. The tightest region was shown by Kendall et al (2007, Statistics and Computing, 17, 1) to have boundaries well approximated by: a + b*sqrt(t) (where a and b have to be adjusted to get the correct coverage probability). These 2 parameters are found using the method of Loader and Deely (J Statist Comput Simulation, 27, 95). The latter method is also implemented for arbitrary boundaries. The tight case uses C code while the general case uses pure R code (which is reasonably fast). Error bounds are also computed. * Utility functions have been added to estimate the conditional inte...