mvnpdfC {NPflow}

C++ implementation of multivariate normal probability density function for multiple inputs

Description

Based on the implementation from Nino Hardt and Dicko Ahmadou https://gallery.rcpp.org/articles/dmvnorm_arma/ (accessed in August 2014)

Usage

mvnpdfC(x, mean, varcovM, Log = TRUE)

Arguments

x

data matrix

mean

mean vector

varcovM

variance covariance matrix

Log

logical flag for returning the log of the probability density function. Default is TRUE

Value

vector of densities

Author(s)

Boris P. Hejblum

Examples

mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE)
mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE)
mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1))
mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1))

if(require(microbenchmark)){
library(microbenchmark)
microbenchmark(dnorm(1.96),
               mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
               times=10000L)
}else{
cat("package 'microbenchmark' not available\n")
}