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Preprints, Working Papers, ... Year : 2017

Multiplying a Gaussian Matrix by a Gaussian Vector (and the Gauss-Laplace Transmutation)

Pierre-Alexandre Mattei
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Abstract

We provide a new simple characterization of the multivariate generalized Laplace distribution. In particular, our characterization implies that the product of a Gaussian matrix with independent and identically distributed columns and an independent isotropic Gaus-sian 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 (and the Gauss-Laplace Transmutation). 2017. ⟨hal-01462941v1⟩
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