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.

Package details

AuthorMatteo Fasiolo [aut, cre], Thijs van den Berg [ctb]
MaintainerMatteo Fasiolo <[email protected]>
LicenseGPL (>= 2.0)
Version0.2.5
URL https://github.com/mfasiolo/mvnfast www.sitmo.com
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mvnfast")

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mvnfast documentation built on Feb. 1, 2018, 1:04 a.m.