1
$\begingroup$

What is the closed form formula (pdf) for a multivariate Rayleigh distribution. Is it -

$x^T \Sigma^{-1} x \times \exp(\frac{-x^T \Sigma^{-1} x}{2})$

How do you prove it is from the exponential family?

Improve this question
$\endgroup$

1 Answer 1

Reset to default
0
$\begingroup$

See this 2003 paper by Ranjan Mallik.

Improve this answer
$\endgroup$

Not the answer you're looking for? Browse other questions tagged .