mvnpdfC: C++ implementation of multivariate normal probability density...

In socale/firstpkg:

Description

Based on the implementation from Nino Hardt and Dicko Ahmadou http://gallery.rcpp.org/articles/dmvnorm_arma/ (accessed in August 2014)

Usage

mvnpdfC(x, mean, varcovM, Log = TRUE)

Arguments

x	data matrix
mean	mean vector
varcovM	variance covariance matrix
Log	logical flag for returning the log of the probability density function. Defaults is TRUE

Value

vector of densities

Author(s)

Boris P. Hejblum

Examples

mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE)
mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE)
mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1))
mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1))

if(require(microbenchmark)){
library(microbenchmark)
microbenchmark(dnorm(1.96),
               mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               times=10000L)
}else{
cat("package 'microbenchmark' not available\n")
}

socale/firstpkg documentation built on May 26, 2019, 4:34 a.m.