mvnfast: Fast Multivariate Normal and Student's t Methods

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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.

Author
Matteo Fasiolo, using the C++ parallel RNG of Thijs van den Berg and Ziggurat algorithm of Jens Maurer and Steven Watanabe (boost)
Date of publication
2016-10-10 13:51:57
Maintainer
Matteo Fasiolo <matteo.fasiolo@gmail.com>
License
GPL (>= 2.0)
Version
0.1.7
URLs

View on CRAN

Man pages

dmvn
Fast computation of the multivariate normal density.
dmvt
Fast computation of the multivariate Student's t density.
maha
Fast computation of squared mahalanobis distance between all...
ms
Mean-shift mode seeking algorithm
rmvn
Fast simulation of multivariate normal random variables
rmvt
Fast simulation of multivariate Student's t random variables

Files in this package

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-rmvn.R
mvnfast/inst/tests/test-ms.R
mvnfast/inst/tests/test-dmvt.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/Makevars
mvnfast/src/rmvnCpp.cpp
mvnfast/src/mahaCpp.cpp
mvnfast/src/dmvtCpp.cpp
mvnfast/src/msCpp.cpp
mvnfast/src/rmvtCpp.cpp
mvnfast/src/Makevars.win
mvnfast/src/sitmo
mvnfast/src/sitmo/sitmo.hpp
mvnfast/src/mvnfast.h
mvnfast/NAMESPACE
mvnfast/R
mvnfast/R/maha.R
mvnfast/R/dmvt.R
mvnfast/R/ms.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/maha.Rd
mvnfast/man/ms.Rd
mvnfast/man/rmvn.Rd
mvnfast/man/dmvn.Rd