Exponential power distribution

Exponential power distribution

The exponential power distribution, also known as the generalized error distribution, is a probability distribution that takes a scale parameter "a" and exponent (or shape parameter) "b". The probability density is

: p(x) , dx = {1 over 2 a Gamma(1+1/b)} exp{(-|x/a|^b)} , dx

For "b" = 1 this reduces to the Laplace distribution. For "b" = 2 it is a normal distribution with scriptstyle a,= ,sqrt{2} sigma.


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