FastGP (version 1.2)

rcpp_rmvnorm: Multivariate Normal Sampling and Log-Density Evaluation

Description

These functions allow for the sampling of and evaluation of the log-density of a multivariate normal vector.

Usage

rcpp_log_dmvnorm(S,mu,x, istoep)
rcpp_rmvnorm(n,S,mu)
rcpp_rmvnorm_stable(n,S,mu)

Arguments

S

Covariance matrix of associated multivariate normal.

n

Number of (independent) samples to generate.

mu

Mean vector.

x

Vector of observations to evaluate the log-density of.

istoep

set this to TRUE if S is Toeplitz.

Examples

#See demo/FastGPdemo.R