Multiplying a Gaussian matrix by a Gaussian vector

Pierre-Alexandre Mattei

Statistics & Probability Letters, 2017, vol. 128, issue C, 67-70

Abstract: We provide a new and 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 Gaussian vector follows a symmetric multivariate generalized Laplace distribution.

Keywords: Gamma distribution; Laplace distribution; Product distribution; Random matrix; Scale mixture; Variance-gamma distribution (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.04.004

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