SyntaxΒΆ

Functions are called using an R-like syntax. Some general rules:

  • density functions: stats::d*. For example, the Normal (Gaussian) density function is called using:

stats::dnorm(<value>,<mean parameter>,<standard deviation>);

  • cumulative distribution functions: stats::p*. For example, the Gamma CDF is called using:

stats::pgamma(<value>,<shape parameter>,<scale parameter>);

  • quantile functions: stats::q*. For example, the Beta quantile function is called using:

stats::qbeta(<value>,<a parameter>,<b parameter>);

  • random sampling: stats::r*. For example, to generate a single draw from the Logistic distribution:

stats::rlogis(<location parameter>,<scale parameter>,<seed value or random number engine>);

All of these functions have matrix-based equivalents using Armadillo, Blaze, and Eigen dense matrices.

  • The pdf, cdf, and quantile functions can take matrix-valued arguments. For example,

// Using Armadillo:
arma::mat norm_pdf_vals = stats::dnorm(arma::ones(10,20),1.0,2.0);

  • The randomization functions (r*) can output random matrices of arbitrary size. For example, the following code will generate a 100-by-50 matrix of iid draws from a Gamma(3,2) distribution:

// Armadillo:
arma::mat gamma_rvs = stats::rgamma<arma::mat>(100,50,3.0,2.0);

// Blaze:
blaze::DynamicMatrix<double> gamma_rvs = stats::rgamma<blaze::DynamicMatrix<double>>(100,50,3.0,2.0);

// Eigen:
Eigen::MatrixXd gamma_rvs = stats::rgamma<Eigen::MatrixXd>(100,50,3.0,2.0);

  • All matrix-based operations are parallelizable with OpenMP. For GCC and Clang compilers, simply include the -fopenmp option during compilation.