[ESS] Inverse of many small matrices
m@ech|er @end|ng |rom @t@t@m@th@ethz@ch
Fri Apr 3 22:00:02 CEST 2015
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On Thu, Apr 2, 2015 at 3:28 PM, Feng Li <m using feng.li> wrote:
> Dear all,
> I am working with a likelihood function that requires the inverse of many
> small covariance matrices for multivariate normal densities. When the sample
> size is large, this calculation is really heavy. Those matrices are
> independent but unfortunately I can hardly find a way to vectorize them.
> Can anyone give me a hint to speed this up? Thanks in advance!
> Feng Li, Ph.D.
> School of Statistics and Mathematics
> Central University of Finance and Economics
> 100081 Beijing, China
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