package :: mvnfast
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.
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.