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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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Version
0.0.7
0.0.6
0.0.5
0.0.4
0.0.3
0.0.2
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Install
install.packages('esaddle')
Monthly Downloads
143
Version
0.0.7
License
GPL (>= 2)
Issues
1
Pull Requests
0
Stars
1
Forks
3
Repository
https://github.com/mfasiolo/esaddle
Maintainer
Matteo Fasiolo
Last Published
April 26th, 2021
Functions in esaddle (0.0.7)
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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