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
--
Feng Li, Ph.D.
School of Statistics and Mathematics
Central University of Finance and Economics
100081 Beijing, China
http://feng.li/
______________________________________________
R-help@r-project.org mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
