Correlation Gaussian matrix in C using Armadillo

20-25

Usage

corr_gauss_matrix_armaC(x, y, theta, s2 = 1)

Arguments

x

Matrix x

y

Matrix y, must have same number of columns as x

theta

Theta vector

s2

Variance to multiply matrix by

Value

Correlation matrix

Examples

corr_gauss_matrix_armaC(matrix(c(1,0,0,1),2,2),matrix(c(1,0,1,1),2,2),c(1,1))
#>           [,1]      [,2]
#> [1,] 0.3678794 0.1353353
#> [2,] 0.3678794 1.0000000

x1 <- matrix(runif(100*6), nrow=100, ncol=6)
x2 <- matrix(runif(1e4*6), ncol=6)
th <- runif(6)
t1 <- corr_gauss_matrixC(x1, x2, th)
t2 <- corr_gauss_matrix_armaC(x1, x2, th)
identical(t1, t2)
#> [1] TRUE
# microbenchmark::microbenchmark(corr_gauss_matrixC(x1, x2, th),
#                                corr_gauss_matrix_armaC(x1, x2, th))