Suppose we have a Multivariate Gaussian random variable $X\sim N(\mu,\Sigma)$. What's the distribution of $\|X\|_1$?
My thinking: There are a lot of articles talking about the distribution of $\|X\|_2$, But how about $L_1$ norm?
2026-03-28 14:55:16.1774709716
What's the distribution of $L_1$ norm of Gaussian random variables?
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