rmvnorm0

Positive integer; the number of samples.

mean vector of the normal distribution.

mean

covariance matrix of the normal distribution.

sigma

Simulate multivariate normal random variates

Implements the forward-mode automatic differentiation for
multivariate functions using the matrix-calculus notation from Magnus and
Neudecker (2019) <doi:10.1002/9781119541219>. Two key features of the package
are: (i) it incorporates various optimisation strategies to improve performance;
this includes applying memoisation to cut down object construction time, using
sparse matrix representation to speed up derivative calculation, and creating
specialised matrix operations to reduce computation time; (ii) it supports
differentiating random variates with respect to their parameters, targeting
Markov chain Monte Carlo (MCMC) and general simulation-based applications.

rmvnorm0: Simulate multivariate normal random variates

Description

Usage

Arguments

Value