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Multiplying a Gaussian Matrix by a Gaussian Vector

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Mattei, Pierre-Alexandre

Edité par CCSD ; Elsevier -

International audience. 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.

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