Generating Random Variables According To The Laplace Distribution
Given a random variable U drawn from the uniform distribution in the interval (-1/2, 1/2], the random variable
has a Laplace distribution with parameters μ and b. This follows from the inverse cumulative distribution function given above.
A Laplace(0, b) variate can also be generated as the difference of two i.i.d. Exponential(1/b) random variables. Equivalently, a Laplace(0, 1) random variable can be generated as the logarithm of the ratio of two iid uniform random variables.
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