n is the number of observations

v is the number of variables

x is the sample mean vector

is the square root of the sum of the squares of the elements of x (the Euclidean length of the vector x)

So, in the limit as k becomes arbitrarily large, tends toward the normal PDF. As , tends toward the exponential (Laplace) distribution.

The regularization parameter k is set so that P(Normal(x) < k) = Huber Coverage, where Normal(x) indicates a multivariate normal variate. Huber Coverage is a user field, which defaults to 0.90.