Laplace law of error

E160629

The Laplace law of error is a probability distribution characterized by a sharp peak at the mean and heavier tails than the normal distribution, historically used to model the magnitude of observational errors.

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Laplace law of error canonical 1

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Statements (46)

Predicate Object
instanceOf continuous probability distribution
probability distribution
symmetric distribution
two-parameter distribution
alsoKnownAs Laplace distribution
bilateral exponential distribution
double exponential distribution
belongsTo error theory
exponential family (in a suitable parametrization)
Probability Theory
surface form: probability theory

statistics
belongsToFamily location-scale family
canBeRepresentedAs distribution of μ + Y1 - Y2 where Y1,Y2 are i.i.d. exponential(1/b)
characteristicFunction φ(t) = 1 / (1 + b^2 t^2) · exp(i μ t)
cumulativeDistributionFunction F(x|μ,b) = 0.5 · exp((x-μ)/b) for x < μ
F(x|μ,b) = 1 - 0.5 · exp(-(x-μ)/b) for x ≥ μ
entropy 1 + ln(2b)
excessKurtosis 3
hasHeavierTailsThan normal distribution
hasLogLikelihood ℓ(μ,b|x) = -n ln(2b) - (1/b) Σ|xi - μ|
hasParameter location parameter μ
scale parameter b
hasProbabilityDensityShape sharp peak at the mean and heavier tails than the normal distribution
hasSharperPeakThan normal distribution
hasTailBehavior exponential tails
historicalUse modeling astronomical observational errors
modeling physical measurement errors
isLimitOf difference of two independent exponential distributions
isMoreRobustTo outliers than the normal distribution
isSpecialCaseOf generalized error distribution
isSymmetricAbout μ
kurtosis 6
maximumLikelihoodEstimatorForLocation sample median
maximumLikelihoodEstimatorForScale (1/n) Σ|xi - μ̂|
mean μ
median μ
mode μ
momentGeneratingFunction M(t) = exp(μ t) / (1 - b^2 t^2) for |t| < 1/b
namedAfter Pierre-Simon Laplace
probabilityDensityFunction f(x|μ,b) = (1/(2b)) · exp(-|x-μ|/b)
skewness 0
support all real numbers
usedFor modeling data with outliers
modeling magnitude of observational errors
robust modeling of error distributions
variance 2b^2

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Gaussian law of error contrastedWith Laplace law of error