Utilities for multivariate gaussians #4
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M-Kusumgar
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Feb 21, 2024
| set.seed(1) | ||
| x <- matrix(rnorm(20, sd = 10), ncol = 2) | ||
| expect_equal(apply(x, 1, make_ldmvnorm(vcv)), | ||
| mvtnorm::dmvnorm(x, sigma = vcv, log = TRUE)) |
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is our implementation of the rmvnorm (mvtnorm exposes the same thing) better? wondering why we implemented that in the distributions file
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Ours caches the decomposition. Later ours will also be translated into C++
Co-authored-by: M-Kusumgar <[email protected]>
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Some utilities for working with multivariate gaussians:
Currently merging into #1 because it contains those commits due to the support for sampling from a multivariate gaussian