[R] Multivariate normal density in C for R

[zerfetzen]

Does anyone know of a package that uses C code to calculate a multivariate
normal density?

My goal is to find a faster way to calculate MVN densities and avoid R loops
or apply functions, such as when X and mu are N x K matrices, as opposed to
vectors, and in this particular case, speed really matters. I would like to
be able to use .C or .Call to pass X, mu, Sigma, and N to a C program and
have it return a vector of log densities to R.

I'm new to putting C in R, but am sure I'll figure it out. Thanks for any
suggestions.

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