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 <matteo.fasiolo@gmail.com>
LicenseGPL (>= 2.0)
Version0.2.7
URL https://github.com/mfasiolo/mvnfast/
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mvnfast")

Try the mvnfast package in your browser

Any scripts or data that you put into this service are public.

mvnfast documentation built on May 20, 2021, 5:06 p.m.