The covariance matrix is positive semidefinite. Common random variables The random variable has a probability density of standard uniform U We can create a random variable in [a,b] by . The PDF for is Y The random variable with rate constant has a PDF exponential T
The covariance matrix is positive semidefinite. Common random variables The standard uniform random variable U has a probability density of We can create a random variable in [a,b] by . The PDF for Y is The exponential random variable T with rate constant has a PDF
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