Using the sparseMVN package

The signatures of the key sparse matrix functions are

rmvn.sparse(n, mu, CH, prec=TRUE) dmvn.sparse(x, mu, CH, prec=TRUE, log=TRUE)

Parameter Description
x A numeric matrix. Each row is an MVN sample.
mu A numeric vector. The mean of the MVN random variable.
CH Either a dCHMsimpl or dCHMsuper object representing the Cholesky decomposition of the covariance/precision matrix.
prec Logical value that identifies CH as the Cholesky decomposition of either a covariance (\(\Sigma\), ) or precision(\(\Sigma^{-1}\), ) matrix.
n Number of random samples to be generated.
log If , the log density is returned.