mfasiolo/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.

Getting started

Package details

MaintainerMatteo Fasiolo <[email protected]>
LicenseGPL (>= 2.0)
Version0.2.6
URL https://github.com/mfasiolo/mvnfast www.sitmo.com
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("mfasiolo/mvnfast")
mfasiolo/mvnfast documentation built on June 20, 2018, 6:44 p.m.