Kozubowski, Tomasz J.; Podgórski, Krzysztof; Rychlik, Igor - In: Journal of Multivariate Analysis 113 (2013) C, pp. 59-72
Multivariate Laplace distribution is an important stochastic model that accounts for asymmetry and heavier than Gaussian tails, 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...