Symmetric Multivariate Laplace Distribution
In this chapter we discuss a natural extension of the univariate symmetric Laplace distribution to the multivariate setting. The material discussed here has not — to the best of our knowledge — appeared before in book literature. A comparison with the commonly used multivariate normal distribution would be most instructive.
KeywordsCovariance Matrice Multivariate Normal Distribution Laplace Distribution Bivariate Normal Distribution Bivariate Case
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