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A distribution is a mathematical description of probabilities or frequencies.
4
votes
1
answer
178
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Logistic transform of multivariate zero-mean Gaussian
Consider a multivariate logistic-normal variable $z \sim \mathcal {LN}(\mu,{\Sigma})$, where ${\Sigma}$ is and $n$-by-$n$ positive definite matrix. I mean,
for $x = (x_1,\ldots,x_n)\sim \mathcal N(\mu …
5
votes
1
answer
225
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What prior would lead to $\ell_\infty$ regularization of model weights?
Gaussian prior on weights of a GLM lead to Ridge / $\ell_2$ squared regularization.
Laplace prior leads to $\ell_1$ regularization
Question
What prior would lead to $\ell_\infty$ regularization ?