B.1 UNIVARIATE DISTRIBUTIONS
- Gaussian distribution: X is a Gaussian random variable with mean μ and variance
if it has the following probability density function (pdf):
When X is such a Gaussian random variable, we denote it as . Obviously in this case, and .
- Standard Gaussian distribution: X is a standard Gaussian (or standard normal) random variable if . The pdf of a standard Gaussian random variable X is
In other words, and Var(X) = 1.
- Lognormal distribution: X is a lognormal random variable with parameter μ and σ2 if it has the following pdf:
If X = eY where , then X is lognormal distributed.
- Exponential distribution ...