[ESS] Inverse of many small matrices

[Feng Li]

Dear all,

I am working with a likelihood function that requires the inverse of 
many small covariance matrices for multivariate normal densities. When 
the sample size is large, this calculation is really heavy. Those 
matrices are independent but unfortunately I can hardly find a way to 
vectorize them.

Can anyone give me a hint to speed this up? Thanks in advance!



Feng

-- 
Feng Li, Ph.D.
School of Statistics and Mathematics
Central University of Finance and Economics
100081 Beijing, China
http://feng.li/