mvnfast: Fast Multivariate Normal and Student's t Methods

Provides computationally efficient tools related to the multivariate normal and Student's t distributions. The main functionalities are: simulating multivariate random vectors, evaluating multivariate normal or Student's t densities and Mahalanobis distances. These tools are very efficient thanks to the use of C++ code and of the OpenMP API.

AuthorMatteo Fasiolo, using the C++ parallel RNG of Thijs van den Berg and Ziggurat algorithm of Jens Maurer and Steven Watanabe (boost)
Date of publication2017-02-18 00:15:41
MaintainerMatteo Fasiolo <matteo.fasiolo@gmail.com>
LicenseGPL (>= 2.0)
Version0.2.0
https://github.com/mfasiolo/mvnfast
www.sitmo.com

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Files

mvnfast
mvnfast/inst
mvnfast/inst/CITATION
mvnfast/inst/tests
mvnfast/inst/tests/test-rmvt.R
mvnfast/inst/tests/test-dmvn.R
mvnfast/inst/tests/test-rmixt.R
mvnfast/inst/tests/test-rmvn.R
mvnfast/inst/tests/test-ms.R
mvnfast/inst/tests/test-dmvt.R
mvnfast/inst/tests/test-dmixt.R
mvnfast/inst/tests/test-rmixn.R
mvnfast/inst/COPYRIGHTS
mvnfast/inst/doc
mvnfast/inst/doc/mvnfast.Rmd
mvnfast/inst/doc/mvnfast.R
mvnfast/inst/doc/mvnfast.html
mvnfast/tests
mvnfast/tests/test-all.R
mvnfast/src
mvnfast/src/rmixtCpp.cpp
mvnfast/src/Makevars
mvnfast/src/rmvnCpp.cpp
mvnfast/src/mahaCpp.cpp
mvnfast/src/dmvtCpp.cpp
mvnfast/src/msCpp.cpp
mvnfast/src/rmvtCpp.cpp
mvnfast/src/rmixnCpp.cpp
mvnfast/src/dmixtCpp.cpp
mvnfast/src/Makevars.win
mvnfast/src/init.c
mvnfast/src/sitmo
mvnfast/src/sitmo/sitmo.hpp
mvnfast/src/mvnfast.h
mvnfast/NAMESPACE
mvnfast/R
mvnfast/R/maha.R mvnfast/R/dmixn.R mvnfast/R/rmixt.R mvnfast/R/dmixt.R mvnfast/R/dmvt.R mvnfast/R/ms.R mvnfast/R/rmixn.R mvnfast/R/rmvn.R mvnfast/R/dmvn.R mvnfast/R/rmvt.R
mvnfast/vignettes
mvnfast/vignettes/mvnfast.Rmd
mvnfast/MD5
mvnfast/build
mvnfast/build/vignette.rds
mvnfast/DESCRIPTION
mvnfast/man
mvnfast/man/rmvt.Rd mvnfast/man/dmvt.Rd mvnfast/man/dmixt.Rd mvnfast/man/dmixn.Rd mvnfast/man/maha.Rd mvnfast/man/ms.Rd mvnfast/man/rmixn.Rd mvnfast/man/rmvn.Rd mvnfast/man/rmixt.Rd mvnfast/man/dmvn.Rd

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