A scientific computing and data-handling library for C, providing functions on the same level as those of the typical stats package (OLS, probit, singular value decomposition, &c.). Written to facilitate writing fast and easy C code.
I use this daily at work. [I suppose as the lead developer, this is not surprising.]
The January 2010 version broke on my 64-bit Ubuntu 9.10 box.
Very solid library for data analysis. I hope to see some MCMC stuff in the future development.
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