A new multivariate Laplace distribution based on the mixture of normal distributions
A new multivariate Laplace distribution based on the mixture of normal distributions
In this paper, we propose a new multivariate Laplace distribution from normal variance mixture models, called as Type II multivariate Laplace distribution.Unlike the original multivariate Laplace distribution whose all components must have the same value for the mixing variate, the random components in the new distribution could have different value …