NPflow (version 0.9.0)

mmvstpdfC: C++ implementation of multivariate Normal probability density function for multiple inputs

Description

C++ implementation of multivariate Normal probability density function for multiple inputs

Usage

mmvstpdfC(x, xi, psi, sigma, df, Log = TRUE)

Arguments

x

data matrix of dimension p x n, p being the dimension of the data and n the number of data points.

xi

mean vectors matrix of dimension p x K, K being the number of distributions for which the density probability has to be evaluated.

psi

skew parameter vectors matrix of dimension p x K.

sigma

list of length K of variance-covariance matrices, each of dimensions p x p.

df

vector of length K of degree of freedom parameters.

Log

logical flag for returning the log of the probability density function. Defaults is TRUE.

Value

• matrix of densities of dimension K x n.

Examples

mmvstpdfC(x = matrix(c(3.399890,-5.936962), ncol=1), xi=matrix(c(0.2528859,-2.4234067)),
psi=matrix(c(11.20536,-12.51052), ncol=1),
sigma=list(matrix(c(0.2134011, -0.0382573, -0.0382573, 0.2660086), ncol=2)),
df=c(7.784106)
)
mvstpdf(x = matrix(c(3.399890,-5.936962), ncol=1), xi=c(0.2528859,-2.4234067),
psi=c(11.20536,-12.51052),
sigma=matrix(c(0.2134011, -0.0382573, -0.0382573, 0.2660086), ncol=2),
df=c(7.784106)
)

#skew-normal limit
mmvsnpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
         xi=matrix(c(0, 0)), psi=matrix(c(1, 1),ncol=1), sigma=list(diag(2))
         )
mvstpdf(x=matrix(rep(1.96,2), nrow=2, ncol=1),
       xi=c(0, 0), psi=c(1, 1), sigma=diag(2),
       df=100000000
       )
mmvstpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
         xi=matrix(c(0, 0)), psi=matrix(c(1, 1),ncol=1), sigma=list(diag(2)),
         df=100000000
         )

#non-skewed limit
mmvtpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
        mean=matrix(c(0, 0)), varcovM=list(diag(2)),
        df=10
        )
mmvstpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
         xi=matrix(c(0, 0)), psi=matrix(c(0, 0),ncol=1), sigma=list(diag(2)),
         df=10
         )

library(microbenchmark)
microbenchmark(mvstpdf(x=matrix(rep(1.96,2), nrow=2, ncol=1),
                      xi=c(0, 0), psi=c(1, 1),
                      sigma=diag(2), df=10),
              mmvstpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
                        xi=matrix(c(0, 0)), psi=matrix(c(1, 1),ncol=1),
                        sigma=list(diag(2)), df=10),
              times=1000L)