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Faster Multivariate Normal densities with RcppArmadillo and OpenMP Nino Hardt, Dicko Ahmadou, Benjamin Christoffersen — written Jul 13, 2013 — updated Feb 2, 2020 — source The Multivariate Normal density function is used frequently for a number of problems. Especially for MCMC problems, fast evaluation is important. Multivariate Normal Likelihoods, Priors and mixtures of Multivariate Normals requi