NPflow (version 0.9.0)

mvnpdfC: C++ implementation of multivariate Normal probability density function

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

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))

library(microbenchmark)
microbenchmark(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)