Laplace distribution represents the distribution of differences between two independent variables having identical exponential distributions. It is also called double exponential distribution.

Probability density function

Probability density function of Laplace distribution is given as:

Formula

L(x|μ,b)=12be−|x−μ|bL(x|μ,b)=12be−|x−μ|b

=12b=12b ⎧⎩⎨e−x−μb,e−μ−xb,if x<μif x≥μ{e−x−μb,if x<μe−μ−xb,if x≥μ

Where −

·        μμ = location parameter.

·        bb = scale parameter and is > 0.

·        xx = random variable.

Cumulative distribution function

Cumulative distribution function of Laplace distribution is given as:

Formula

D(x)=∫x−∞D(x)=∫−∞x

=⎧⎩⎨⎪⎪12ex−μb,1−12e−x−μb,if x<μif x≥μ={12ex−μb,if x<μ1−12e−x−μb,if x≥μ

=12+12sgn(x−μ)(1−e−|x−μ|b)=12+12sgn(x−μ)(1−e−|x−μ|b)

Where −

·        μμ = location parameter.

·        bb = scale parameter and is > 0.

·        xx = random variable.