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esaddle (version 0.0.6)

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

167

Version

0.0.6

License

GPL (>= 2)

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Maintainer

Matteo Fasiolo

Last Published

January 10th, 2020

Functions in esaddle (0.0.6)

robCov

Robust covariance matrix estimation
ecgf

Cumulant generating function estimation
selectDecay

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

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

Evaluating the Extended Empirical Saddlepoint (EES) density
demvn

Evaluate the density of a multivariate Gaussian fit
findMode

Finding the mode of the empirical saddlepoint density