Multiplying a Gaussian Matrix by a Gaussian Vector
Résumé
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.
Origine | Fichiers produits par l'(les) auteur(s) |
---|
Loading...