Multiplying a Gaussian Matrix by a Gaussian Vector
Probability
2017-04-06 v2 Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.1702.02815,
title = {Multiplying a Gaussian Matrix by a Gaussian Vector},
author = {Pierre-Alexandre Mattei},
journal= {arXiv preprint arXiv:1702.02815},
year = {2017}
}