[R] Ellipse that Contains 95% of the Observed Data

[Tom La Bone]

I can take the results of a simulation with one random variable and generate
an empirical interval that contains 95% of the observations, e.g.,

x <- rnorm(10000)
quantile(x,probs=c(0.025,0.975))

Is there an R function that can take the results from two random variables
and generate an empirical ellipse that contains 95% of the observations,
e.g.,  

x <- rnorm(10000)
y <- rnorm(10000)
?

I am specifically looking for an ellipse that does not assume normality.

Tom


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