mvnfast (0.2.0)

Fast Multivariate Normal and Student's t Methods.

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.

Maintainer: Matteo Fasiolo
Author(s): Matteo Fasiolo, using the C++ parallel RNG of Thijs van den Berg and Ziggurat algorithm of Jens Maurer and Steven Watanabe (boost)

License: GPL (>= 2.0)

Uses: Rcpp, mvtnorm, plyr, MASS, testthat, microbenchmark, knitr, RhpcBLASctl

Released 7 months ago.