Laplace distribution

In probability theory and statistics, the Laplace

distribution is a continuous probability distribution
Laplace
named after Pierre-Simon Laplace. It is also Probability density function
sometimes called the double exponential
distribution, because it can be thought of as two
exponential distributions (with an additional
location parameter) spliced together along the
abscissa, although the term 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.
Cumulative distribution function
Definitions

Probability density function

A random variable has a

distribution if its probability density function is

Here, is a location parameter and , which is

sometimes referred to as the "diversity", is a scale Parameters location (real)
parameter. If and , the positive half- scale (real)
line is exactly an exponential distribution scaled by
1/2. Support
PDF
The probability density function of the Laplace
distribution is also reminiscent of the normal
CDF
distribution; however, whereas the normal
distribution is expressed in terms of the squared
difference from the mean , the Laplace density is
Quantile

Mean
Median
expressed in terms of the absolute difference from Mode
the mean. Consequently, the Laplace distribution
Variance
has fatter tails than the normal distribution.
MAD
Skewness
Cumulative distribution function
Ex.
The Laplace distribution is easy to integrate (if one kurtosis
distinguishes two symmetric cases) due to the use Entropy
of the absolute value function. Its cumulative
MGF
distribution function is as follows:

CF

CVaR (ES)

[1]

bPOE

Where , and is the

Lambert-W function[1]

The inverse cumulative distribution function is given by

Properties

Moments

Related distributions
If then .
If then .
 If then (exponential distribution).
If then ．
If then .
If then (exponential power distribution).
If (normal distribution) then and
.

If then (chi-squared distribution).

If then . (F-distribution)
If (uniform distribution) then .
If and (Bernoulli distribution) independent of ,
then .
If and independent of , then
．
If has a Rademacher distribution and then .
If and independent of , then
.
If (geometric stable distribution) then .
The Laplace distribution is a limiting case of the hyperbolic distribution.
If with (Rayleigh distribution) then .
Note that if , then with , which in turn
equals the exponential distribution .

Given an integer , if (gamma distribution, using

characterization), then (infinite divisibility)[2]

If X has a Laplace distribution, then Y = eX has a log-Laplace distribution; conversely, if X

has a log-Laplace distribution, then its logarithm has a Laplace distribution.

Probability of a Laplace being greater than another

Let be independent laplace random variables: and ,

and we want to compute .

The probability of can be reduced (using the properties below) to , where

. This probability is equal to
When , both expressions are replaced by their limit as :

To compute the case for , note that

since when

Relation to the exponential distribution

A Laplace random variable can be represented as the difference of two independent and identically
distributed (iid) exponential random variables.[2] One way to show this is by using the characteristic
function approach. For any set of independent continuous random variables, for any linear combination of
those variables, its characteristic function (which uniquely determines the distribution) can be acquired by
multiplying the corresponding characteristic functions.

Consider two i.i.d random variables . The characteristic functions for

are

respectively. On multiplying these characteristic functions (equivalent to the characteristic function of the
sum of the random variables ), the result is

This is the same as the characteristic function for , which is

Sargan distributions

Sargan distributions are a system of distributions of which the Laplace distribution is a core member. A th
order Sargan distribution has density[3][4]
for parameters . The Laplace distribution results for .

Statistical inference
Given independent and identically distributed samples , the maximum likelihood (MLE)
estimator of is the sample median,[5]

The MLE estimator of is the mean absolute deviation from the median,

revealing a link between the Laplace distribution and least absolute deviations. A correction for small
samples can be applied as follows:

(see: exponential distribution#Parameter estimation).

Occurrence and applications

The Laplacian distribution has been used in speech recognition to model priors on DFT coefficients [6] and
in JPEG image compression to model AC coefficients [7] generated by a DCT.

The addition of noise drawn from a Laplacian distribution, with scaling parameter
appropriate to a function's sensitivity, to the output of a statistical database query is the most
common means to provide differential privacy in statistical databases.

In regression analysis, the least absolute

deviations estimate arises as the maximum
likelihood estimate if the errors have a
Laplace distribution.
The Lasso can be thought of as a Bayesian
regression with a Laplacian prior for the
coefficients.[9]
In hydrology the Laplace distribution is
applied to extreme events such as annual
maximum one-day rainfalls and river
discharges. The blue picture, made with
CumFreq, illustrates an example of fitting the Fitted Laplace distribution to maximum one-day
Laplace distribution to ranked annually rainfalls [8]
maximum one-day rainfalls showing also the
90% confidence belt based on the binomial
distribution. The rainfall data are represented by plotting positions as part of the cumulative
frequency analysis.
The Laplace distribution has applications in finance. For example, S.G. Kou developed a
model for financial instrument prices incorporating a Laplace distribution (in some cases an
asymmetric Laplace distribution) to address problems of skewness, kurtosis and the volatility
smile that often occur when using a normal distribution for pricing these instruments.[10][11]
 The Laplace distribution, being a composite or double distribution, is applicable in
situations where the lower values originate under different external conditions than the
higher ones so that they follow a different pattern.[12]

Random variate generation

Given a random variable drawn from the uniform distribution in the interval , the random
variable

has a Laplace distribution with parameters and . This follows from the inverse cumulative distribution
function given above.

A variate can also be generated as the difference of two i.i.d. random

variables. Equivalently, can also be generated as the logarithm of the ratio of two i.i.d.
uniform random variables.

History
This distribution is often referred to as "Laplace's first law of errors". He published it in 1774, modeling the
frequency of an error as an exponential function of its magnitude once its sign was disregarded. Laplace
would later replace this model with his "second law of errors", based on the normal distribution, after the
discovery of the central limit theorem,[13][14]

Keynes published a paper in 1911 based on his earlier thesis wherein he showed that the Laplace
distribution minimised the absolute deviation from the median.[15]

See also
Generalized normal distribution#Symmetric version
Multivariate Laplace distribution
Besov measure, a generalisation of the Laplace distribution to function spaces
Cauchy distribution, also called the "Lorentzian distribution", ie the Fourier transform of the
Laplace
Characteristic function (probability theory)

References
1. Norton, Matthew; Khokhlov, Valentyn; Uryasev, Stan (2019). "Calculating CVaR and bPOE
for common probability distributions with application to portfolio optimization and density
estimation" (http://uryasev.ams.stonybrook.edu/wp-content/uploads/2019/10/Norton2019_C
VaR_bPOE.pdf) (PDF). Annals of Operations Research. Springer. 299 (1–2): 1281–1315.
doi:10.1007/s10479-019-03373-1 (https://doi.org/10.1007%2Fs10479-019-03373-1).
Retrieved 2023-02-27.
 2. Kotz, Samuel; Kozubowski, Tomasz J.; Podgórski, Krzysztof (2001). The Laplace distribution
and generalizations: a revisit with applications to Communications, Economics, Engineering
and Finance (https://books.google.com/books?id=cb8B07hwULUC&q=laplace+distribution+
exponential+characteristic+function&pg=PA23). Birkhauser. pp. 23 (Proposition 2.2.2,
Equation 2.2.8). ISBN 9780817641665.
3. Everitt, B.S. (2002) The Cambridge Dictionary of Statistics, CUP. ISBN 0-521-81099-X
4. Johnson, N.L., Kotz S., Balakrishnan, N. (1994) Continuous Univariate Distributions, Wiley.
ISBN 0-471-58495-9. p. 60
5. Robert M. Norton (May 1984). "The Double Exponential Distribution: Using Calculus to Find
a Maximum Likelihood Estimator". The American Statistician. American Statistical
Association. 38 (2): 135–136. doi:10.2307/2683252 (https://doi.org/10.2307%2F2683252).
JSTOR 2683252 (https://www.jstor.org/stable/2683252).
6. Eltoft, T.; Taesu Kim; Te-Won Lee (2006). "On the multivariate Laplace distribution" (https://w
eb.archive.org/web/20130606114728/http://eo.uit.no/publications/TE-SPL-06.pdf) (PDF).
IEEE Signal Processing Letters. 13 (5): 300–303. doi:10.1109/LSP.2006.870353 (https://doi.
org/10.1109%2FLSP.2006.870353). S2CID 1011487 (https://api.semanticscholar.org/Corpu
sID:1011487). Archived from the original (http://eo.uit.no/publications/TE-SPL-06.pdf) (PDF)
on 2013-06-06. Retrieved 2012-07-04.
7. Minguillon, J.; Pujol, J. (2001). "JPEG standard uniform quantization error modeling with
applications to sequential and progressive operation modes" (http://openaccess.uoc.edu/we
bapps/o2/bitstream/10609/6263/6/jei-jpeg.pdf) (PDF). Journal of Electronic Imaging. 10 (2):
475–485. doi:10.1117/1.1344592 (https://doi.org/10.1117%2F1.1344592). hdl:10609/6263
(https://hdl.handle.net/10609%2F6263).
8. CumFreq for probability distribution fitting (https://www.waterlog.info/cumfreq.htm)
9. Pardo, Scott (2020). Statistical Analysis of Empirical Data Methods for Applied Sciences (htt
ps://books.google.com/books?id=k0nhDwAAQBAJ&pg=PA58). Springer. p. 58. ISBN 978-3-
030-43327-7.
10. Kou, S.G. (August 8, 2002). "A Jump-Diffusion Model for Option Pricing" (https://www.jstor.or
g/stable/822677). Management Science. 48 (8): 1086–1101.
doi:10.1287/mnsc.48.8.1086.166 (https://doi.org/10.1287%2Fmnsc.48.8.1086.166).
JSTOR 822677 (https://www.jstor.org/stable/822677). Retrieved 2022-03-01.
11. Chen, Jian (2018). General Equilibrium Option Pricing Method: Theoretical and Empirical
Study. Springer. p. 70. ISBN 9789811074288.
12. A collection of composite distributions (https://www.waterlog.info/composite.htm)
13. Laplace, P-S. (1774). Mémoire sur la probabilité des causes par les évènements. Mémoires
de l’Academie Royale des Sciences Presentés par Divers Savan, 6, 621–656
14. Wilson, Edwin Bidwell (1923). "First and Second Laws of Error". Journal of the American
Statistical Association. Informa UK Limited. 18 (143): 841–851.
doi:10.1080/01621459.1923.10502116 (https://doi.org/10.1080%2F01621459.1923.105021
16). ISSN 0162-1459 (https://www.worldcat.org/issn/0162-1459).
15. Keynes, J. M. (1911). "The Principal Averages and the Laws of Error which Lead to Them"
(https://zenodo.org/record/2253549). Journal of the Royal Statistical Society. JSTOR. 74 (3):
322–331. doi:10.2307/2340444 (https://doi.org/10.2307%2F2340444). ISSN 0952-8385 (http
s://www.worldcat.org/issn/0952-8385). JSTOR 2340444 (https://www.jstor.org/stable/234044
4).

External links
"Laplace distribution" (https://www.encyclopediaofmath.org/index.php?title=Laplace_distribu
tion), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
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