Multivariate Laplace distribution
http://dbpedia.org/resource/Multivariate_Laplace_distribution
In the mathematical theory of probability, multivariate Laplace distributions are extensions of the Laplace distribution and the asymmetric Laplace distribution to multiple variables. The marginal distributions of symmetric multivariate Laplace distribution variables are Laplace distributions. The marginal distributions of asymmetric multivariate Laplace distribution variables are asymmetric Laplace distributions.
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Multivariate Laplace distribution
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Multivariate Laplace
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54150419
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1123769794
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0
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non-zero unless μ=0
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x ∈ μ + span ⊆ Rk
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Σ
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Σ + μ ' μ
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multivariate
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μ
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In the mathematical theory of probability, multivariate Laplace distributions are extensions of the Laplace distribution and the asymmetric Laplace distribution to multiple variables. The marginal distributions of symmetric multivariate Laplace distribution variables are Laplace distributions. The marginal distributions of asymmetric multivariate Laplace distribution variables are asymmetric Laplace distributions.
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μ
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Σ ∈ Rk×k — covariance
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μ ∈ Rk — location
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:If ,
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where and is the modified Bessel function of the second kind.
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9462