Does anyone know of a package that uses C code to calculate a multivariate normal density?
My goal is to find a faster way to calculate MVN densities and avoid R loops or apply functions, such as when X and mu are N x K matrices, as opposed to vectors, and in this particular case, speed really matters. I would like to be able to use .C or .Call to pass X, mu, Sigma, and N to a C program and have it return a vector of log densities to R. I'm new to putting C in R, but am sure I'll figure it out. Thanks for any suggestions. -- View this message in context: http://r.789695.n4.nabble.com/Multivariate-normal-density-in-C-for-R-tp3624602p3624602.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
