package :: mvnfast
https://cran.r-project.org/web/packages/mvnfast/index.html
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.
