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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.

Functions (10)

dmixn

Fast density computation for mixture of multivariate normal distributions.

dmixt

Fast density computation for mixture of multivariate Student's t distributions.

dmvn

Fast computation of the multivariate normal density.

dmvt

Fast computation of the multivariate Student's t density.

maha

Fast computation of squared mahalanobis distance between all rows of X and the vector mu with respect to sigma.

ms

Mean-shift mode seeking algorithm

rmixn

Fast simulation of r.v.s from a mixture of multivariate normal densities

rmixt

Fast simulation of r.v.s from a mixture of multivariate Student's t densities

rmvn

Fast simulation of multivariate normal random variables

rmvt

Fast simulation of multivariate Student's t random variables

mvnfast

Fast Multivariate Normal and Student's t Methods

v0.2.5.1
GPL (>= 2.0)
Authors
Matteo Fasiolo [aut, cre], Thijs van den Berg [ctb]
Initial release
2018-01-31

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