mvnfast: fast multivariate normal and Student's t distributions
The mvnfast
R package provides computationally efficient tools related to the multivariate normal and Student's t distributions. The tools are generally faster than those provided by other packages, thanks to the use of C++ code through the Rcpp
\RcppArmadillo
packages and parallelization through the OpenMP
API. The most important functions are:
-
rmvn()
: simulates multivariate normal random vectors. -
rmvt()
: simulates Student's t normal random vectors. -
dmvn()
: evaluates the probability density function of a multivariate normal distribution. -
dmvt()
: evaluates the probability density function of a multivariate Student's t distribution. -
maha()
: evaluates mahalanobis distances.
See the vignette for an introduction to mvnfast and some performance benchmarking.