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Multiplying a Gaussian matrix by a Gaussian vector

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  • Mattei, Pierre-Alexandre

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.

Suggested Citation

  • Mattei, Pierre-Alexandre, 2017. "Multiplying a Gaussian matrix by a Gaussian vector," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 67-70.
    • Handle: RePEc:eee:stapro:v:128:y:2017:i:c:p:67-70
    DOI: 10.1016/j.spl.2017.04.004
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    References listed on IDEAS

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    1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
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    5. Yu, Yaming, 2017. "On normal variance–mean mixtures," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 45-50.
    6. Anderson, Dale N., 1992. "A multivariate Linnik distribution," Statistics & Probability Letters, Elsevier, vol. 14(4), pages 333-336, July.
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