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mvnfast (version 0.2.8)

Fast Multivariate Normal and Student's t Methods

Description

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.

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Install

install.packages('mvnfast')

Monthly Downloads

7,981

Version

0.2.8

License

GPL (>= 2.0)

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Repository

https://github.com/mfasiolo/mvnfast/

Maintainer

Matteo Fasiolo

Last Published

February 23rd, 2023

Functions in mvnfast (0.2.8)

Fast density computation for mixture of multivariate normal distributions.

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

Fast computation of the multivariate normal density.

Mean-shift mode seeking algorithm

Fast simulation of multivariate normal random variables

Fast simulation of multivariate Student's t random variables

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

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

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

Fast computation of the multivariate Student's t density.