The mvnfast
R package provides computationally efficient tools related to the multivariate normal and Student's t distributions. The tools are generally faster than those provided by other packages, thanks to the use of C++ code through the Rcpp
\RcppArmadillo
packages and parallelization through the OpenMP
API. The most important functions are:
rmvn()
: simulates multivariate normal random vectors.rmvt()
: simulates Student's t normal random vectors.dmvn()
: evaluates the probability density function of a multivariate normal distribution. dmvt()
: evaluates the probability density function of a multivariate Student's t distribution. maha()
: evaluates mahalanobis distances.See the vignette for an introduction to mvnfast and some performance benchmarking.
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