MultivariateLaplace function

The Multivariate Asymmetric Laplace Distribution

Density and random generation for the multivariate asymmetric Laplace distribution.

dmal(x, mu = rep(0, d), sigma = diag(d), log = FALSE)
rmal(n, mu, sigma)

Arguments

• x: vector of quantiles.
• n: number of observations.
• mu: asymmetry parameter.
• sigma: scale parameter -- positive-definite matrix.
• log: logical; if TRUE, probabilities are log--transformed.

Details

This is the multivariate extension of the (univariate) asymmetric Laplace distribution. It is a special case of MultivariateGenLaplace with shape = 1.

References

Kotz, S., Kozubowski, T., and Podgorski, K. (2001). The Laplace distribution and generalizations. Boston, MA: Birkhauser.

Author(s)

Marco Geraci

See Also

Laplace, MultivariateGenLaplace