Laplace Probability Distribution

A Laplace Probability Distribution is a continuous probability distribution family based on two exponential distributions (with an additional location parameter) spliced together back-to-back

• AKA: Double Exponential Distribution.
• Context:
  • It can be instantiated in a Laplace Probability Function.
• See: Location Parameter, Real Number, Scale Parameter, Exponential Distribution, Gumbel Distribution, Laplace Motion, Variance Gamma Process.

---

---

References

2015

• (Wikipedia, 2015) ⇒ http://en.wikipedia.org/wiki/Laplace_distribution Retrieved:2015-1-15.
  • In probability theory and statistics, the Laplace distribution is a continuous probability distribution named after Pierre-Simon Laplace. It is also sometimes called the double exponential distribution, because it can be thought of as two exponential distributions (with an additional location parameter) spliced together back-to-back, although the term 'double exponential distribution' is also sometimes used to refer to the Gumbel distribution. The difference between two independent identically distributed exponential random variables is governed by a Laplace distribution, as is a Brownian motion evaluated at an exponentially distributed random time. Increments of Laplace motion or a variance gamma process evaluated over the time scale also have a Laplace distribution.

---