[R] Multivariate normal density in C for R

[Berend Hasselman]

zerfetzen wrote:
> 
> 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.
> 

Just a suggestion: package mvtnorm

Berend


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