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

mvnpdfC {NPflow} | R Documentation

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

### Description

Based on the implementation from Nino Hardt and Dicko Ahmadou http://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. Defaults 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")
    }

[Package NPflow version 0.13.3 Index]