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Journal Articles Statistics and Probability Letters Year : 2017

Multiplying a Gaussian Matrix by a Gaussian Vector

Pierre-Alexandre Mattei
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Abstract

We provide a new and simple characterization of the multivariate generalized Laplace distribution. In particular, this result implies that the product of a Gaussian matrix with independent and identically distributed columns by an independent isotropic Gaussian vector follows a symmetric multivariate generalized Laplace distribution.
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Dates and versions

hal-01462941 , version 1 (09-02-2017)
hal-01462941 , version 2 (05-04-2017)

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Pierre-Alexandre Mattei. Multiplying a Gaussian Matrix by a Gaussian Vector. Statistics and Probability Letters, 2017, ⟨10.1016/j.spl.2017.04.004⟩. ⟨hal-01462941v2⟩
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