Multiplying a Gaussian matrix by a Gaussian vector
Copyright policy )Multiplying a Gaussian matrix by a Gaussian vector
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.
Gamma distribution, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], gamma distribution, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Probability (math.PR), Laplace distribution, Variance-gamma distribution, random matrix, Product distribution, Random matrix, Exact distribution theory in statistics, Mathematics - Statistics Theory, Scale mixture, scale mixture, variance-gamma distribution, Statistics Theory (math.ST), Multivariate distribution of statistics, product distribution, Characterization and structure theory of statistical distributions, FOS: Mathematics, Mathematics - Probability
Gamma distribution, [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], gamma distribution, [STAT.TH] Statistics [stat]/Statistics Theory [stat.TH], Probability (math.PR), Laplace distribution, Variance-gamma distribution, random matrix, Product distribution, Random matrix, Exact distribution theory in statistics, Mathematics - Statistics Theory, Scale mixture, scale mixture, variance-gamma distribution, Statistics Theory (math.ST), Multivariate distribution of statistics, product distribution, Characterization and structure theory of statistical distributions, FOS: Mathematics, Mathematics - Probability
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