Sampling from a exponentiated multivariate distribution with L2 norm

probabilityprobability distributionssampling

I am interested in multi-variate distribution $X=(X_1,\cdots,X_d)$ with the following PDF:
$$
p(X_1, \cdots, X_d) = \frac{1}{Z}\exp\{-\beta \|X\|_2 \},
$$

where $\beta>0$ is a distribution parameter, $Z>0$ is a constant independent of $X$ and $\|X\|_2 =\sqrt{\sum_{i=1}^d X_i^2}$. Compared to a multi-variate Normal note that the $L_2$ norm of $X$ is not squared.

I have the following questions:

  1. Is there a name for a distribution like this?

  2. Can I sample $X$ by utilizing samples from other well-known distirbutions (e.g., multi-variate Gaussian)?

Best Answer

For $d=1$ this is known as Laplace distribution.

You can sample from it by first sampling $R = \|X\|_2$ (which will have a gamma distribution), then sampling $Y$ from a uniform distribution on the unit sphere (e.g. $Y = \frac{Z}{\|Z\|_2}$ where $Z$ has $N(0,1)$ components), and finally setting $X = RY$.

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