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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

9,067

Version

0.2.8

License

GPL (>= 2.0)

Issues

5

Pull Requests

0

Stars

33

Forks

9

Maintainer

Matteo Fasiolo

Last Published

February 23rd, 2023

Functions in mvnfast (0.2.8)

dmixn

Fast density computation for mixture of multivariate normal distributions.
dmixt

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

Fast computation of the multivariate normal density.
ms

Mean-shift mode seeking algorithm
rmvn

Fast simulation of multivariate normal random variables
rmvt

Fast simulation of multivariate Student's t random variables
rmixn

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

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

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

Fast computation of the multivariate Student's t density.