Rcpp How to generate random multivariate normal vector in Rcpp?
问题 I would like to generate some large random multivariate (more than 6 dimensions) normal samples. In R, many packages can do this such as rmnorm, rmvn... But the problem is the speed! So I tried to write some C code through Rcpp. I went through some tutorial online but it seems there is no "sugar" for multivariate distribution, neither in STL library. Any help is appreciated! Thanks! 回答1: I'm not sure that Rcpp will help unless you find a good algorithm to approximate your multivariate