Need Symmetric Multivariate Laplace Distribution

Hello,

I need a implementation of the Symmetric Multivariate Laplace Distribution so that I am able to draw random numbers and caluculate the likelihood.

I am searching for over two weeks now but I found none.

So, does such a script already exist?

Kind regards

J.

Answer 1

[Bruno Pop-Stefanov]

There is a submission on the File Exchange for a Laplacian random number generator: Laplacian random number generator.

The function lets you draw a vector of random numbers. Could you adapt it to be a symmetric multivariate Laplacian random number generator?

Answer 2

[Arun M]

Try this one here .