RelayCommandpresumably is the type of delegate that takes one parameter, or the type that itself accepts that type of delegate in the constructor. You declare an anonymous method, saying simply: “when we call, we take the input value (but do not use it) and call it OnRequestClose. You may also have (perhaps a clearer one):
_closeCommand = new RelayCommand(delegate { this.OnRequestClose(); });
It is probably clearer for other purposes where it is used, for example:
var ordered = qry.OrderBy(item => item.SomeValue);
" item, item SomeValue". " param, param OnRequestClose()"