mvnfast: fast multivariate normal and Student’s t distributions

The mvnfast R package provides computationally efficient tools related to the multivariate normal and Student’s t distributions. The tools are generally faster than those provided by other packages, thanks to the use of C++ code through the Rcpp\RcppArmadillo packages and parallelization through the OpenMP API. The most important functions are:

• rmvn(): simulates multivariate normal random vectors.
• rmvt(): simulates Student’s t normal random vectors.
• dmvn(): evaluates the probability density function of a multivariate normal distribution.
  
• dmvt(): evaluates the probability density function of a multivariate Student’s t distribution.
  
• maha(): evaluates mahalanobis distances.

See the vignette for an introduction to mvnfast and some performance benchmarking.