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esaddle (version 0.0.7)

Extended Empirical Saddlepoint Density Approximations

Description

Tools for fitting the Extended Empirical Saddlepoint (EES) density of Fasiolo et al. (2018) .

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Install

install.packages('esaddle')

Monthly Downloads

182

Version

0.0.7

License

GPL (>= 2)

Issues

1

Pull Requests

0

Stars

1

Forks

3

Maintainer

Matteo Fasiolo

Last Published

April 26th, 2021

Functions in esaddle (0.0.7)

robCov

Robust covariance matrix estimation
rsaddle

Simulate random variables from the Extended Empirical Saddlepoint density (ESS)
selectDecay

Tuning the Extended Empirical Saddlepoint (EES) density by cross-validation
demvn

Evaluate the density of a multivariate Gaussian fit
dsaddle

Evaluating the Extended Empirical Saddlepoint (EES) density
ecgf

Cumulant generating function estimation
findMode

Finding the mode of the empirical saddlepoint density