NPflow (version 0.13.5)

mvnpdfC: C++ implementation of multivariate normal probability density function for multiple inputs

Description

Based on the implementation from Nino Hardt and Dicko Ahmadou https://gallery.rcpp.org/articles/dmvnorm_arma/ (accessed in August 2014)

Usage

mvnpdfC(x, mean, varcovM, Log = TRUE)

Value

vector of densities

Arguments

x

data matrix

mean

mean vector

varcovM

variance covariance matrix

Log

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

Author

Boris P. Hejblum

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))

if(require(microbenchmark)){
library(microbenchmark)
microbenchmark(dnorm(1.96),
               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)
}else{
cat("package 'microbenchmark' not available\n")
}