This package (now on CRAN!) implements the Extended Empirical Saddlepoint density approximation (EES) described in Fasiolo et al., 2018.

For more information, see the vignette.

References

• Fasiolo, M., Wood, S.N., Hartig, F. and Bravington, M.V., 2018. An Extended Empirical Saddlepoint Approximation for Intractable Likelihoods. Electronic Journal of Statistics, 12(1), pp.1544-1578.