Multivariate generalized Laplace distribution and related random fields

@article{Kozubowski2013MultivariateGL,
  title={Multivariate generalized Laplace distribution and related random fields},
  author={Tomasz J. Kozubowski and Krzysztof Podg{\'o}rski and Igor Rychlik},
  journal={J. Multivariate Analysis},
  year={2013},
  volume={113},
  pages={59-72}
}
Multivariate Laplace distribution is an important stochastic model that accounts for asymmetry and heavier than Gaussian tails often observed in practical data, while still ensuring the existence of the second moments. A Lévy process based on this multivariate infinitely divisible distribution is known as Laplace motion, and its marginal distributions are multivariate generalized Laplace laws. We review basic properties of the latter distributions and discuss a construction of a class of moving… CONTINUE READING

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