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Thanks for response @Rob Hyndman, sorry I add comment before I finished it... I know that prob controls the confidence area, but it has very wheard behaviour on my data.
I gives me strange result. I don't know, how to control the confidence area. My result with straight use of your code on my data looks like: wrong result What I actually needs is when I have some data with kernel density estimation like: kernel And if I have point x[100000,3000] I would like to decide if it lies in azure confidence level or bigger.
Thanks, your second approach helps me a lot with Kernel distribution. I'm programmer, not statistical and I'm newbie in Mathmatica and R so I appreciate your help a lot. In your second approach it's clear for me how to test a one point where it lies. But how to do that in first approach? I suppose that I have to compare my point with ellipsoid definition. Can tou please provide how? Now I have to hope that there are same definitions in R, because I need to use it in RinRuby...
