R: C++ implementation of multivariate Normal probability density...

mmvnpdfC {NPflow} | R Documentation

## C++ implementation of multivariate Normal probability density function for multiple inputs

### Description

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

### Usage

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

### Arguments

`x` | data matrix of dimension `p x n`, `p` being the dimension of the data and n the number of data points.
`mean` | mean vectors matrix of dimension `p x K`, `K` being the number of distributions for which the density probability has to be evaluated.
`varcovM` | list of length `K` of variance-covariance matrices, each of dimensions `p x p`.
`Log` | logical flag for returning the log of the probability density function. Defaults is `TRUE`.

### Value

matrix of densities of dimension `K x n`.

### Examples

    if(require(microbenchmark)){
    library(microbenchmark)
    microbenchmark(mvnpdf(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
                   mvnpdfC(x=matrix(1.96), mean=0, varcovM=diag(1), Log=FALSE),
                   mmvnpdfC(x=matrix(1.96), mean=matrix(0), varcovM=list(diag(1)), Log=FALSE),
                   times=1000L)
    microbenchmark(mvnpdf(x=matrix(rep(1.96,2), nrow=2, ncol=1), mean=c(-0.2, 0.3),
                          varcovM=matrix(c(2, 0.2, 0.2, 2), ncol=2), Log=FALSE),
                   mvnpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1), mean=c(-0.2, 0.3),
                           varcovM=matrix(c(2, 0.2, 0.2, 2), ncol=2), Log=FALSE),
                   mmvnpdfC(x=matrix(rep(1.96,2), nrow=2, ncol=1),
                            mean=matrix(c(-0.2, 0.3), nrow=2, ncol=1),
                            varcovM=list(matrix(c(2, 0.2, 0.2, 2), ncol=2)), Log=FALSE),
                   times=1000L)
    microbenchmark(mvnpdf(x=matrix(c(rep(1.96,2),rep(0,2)), nrow=2, ncol=2),
                          mean=list(c(0,0),c(-1,-1), c(1.5,1.5)),
                          varcovM=list(diag(2),10*diag(2), 20*diag(2)), Log=FALSE),
                   mmvnpdfC(matrix(c(rep(1.96,2),rep(0,2)), nrow=2, ncol=2),
                            mean=matrix(c(0,0,-1,-1, 1.5,1.5), nrow=2, ncol=3),
                            varcovM=list(diag(2),10*diag(2), 20*diag(2)), Log=FALSE),
                   times=1000L)
    }else{
    cat("package 'microbenchmark' not available\n")
    }

[Package NPflow version 0.13.3 Index]