Multivariate Normal Functions for Sparse Covariance and Precision Matrices

Computes multivariate normal (MVN) densities, and samples from MVN distributions, when the covariance or precision matrix is sparse.


News

NEWS FILE FOR SPARSEMVN PACKAGE

VERSION 0.2.0 (Feb. 5, 2015)

  • Major overhaul of package structure, with new vignettes. Demos were removed in favor of vignettes.

  • New tests using testthat package.

  • Documentation now generated with roxygen2

  • Now using github for development

VERSION 0.1.0 (Nov. 1, 2013)

  • First beta release.

Reference manual

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install.packages("sparseMVN")

0.2.1 by Michael Braun, 4 months ago


http://www.smu.edu/Cox/Departments/FacultyDirectory/BraunMichael


Browse source code at https://github.com/cran/sparseMVN


Authors: Michael Braun [aut, cre, cph]


Documentation:   PDF Manual  


Task views: Probability Distributions


MPL (>= 2.0) license


Imports Matrix, methods

Suggests mvtnorm, plyr, knitr, testthat, dplyr, scales, reshape2, trustOptim, xtable, ggplot2, tidyr


Imported by bgsmtr.

Suggested by bayesGDS.


See at CRAN