I'm looking for resources giving the PDFs for the $\ell^2$-norm of various spherically symmetric, continuous multivariate distributions.
For instance, the PDF for the $\ell^2$-norm of a multivariate normal distribution with zero mean can be shown to be the chi distribution. I'm looking for similar results regarding any or all of the following multivariate distributions (found here on pp. 4-5):
- Kotz
- Student
- Exponential
- Logistic
- Laplace
- Bessel
Thank you.
Note: I asked this question over at MSE, but it received practically no attention. Do let me know if this is off-topic, as this is my first post here.
