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, but 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.
Read more about Laplace Distribution: Generating Random Variables According To The Laplace Distribution, Parameter Estimation, Moments, Related Distributions, Applications, History
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