A connection between the double gamma model and Laplace sample mean

In this paper, we use the moment generating function of the double gamma random variable to derive the sample mean distribution of the Laplace (double exponential) model. The proposed approach simplifies the Bessel function approach in the investigation of the Laplace sample mean. The connection between double gamma and Laplace models facilitates computation for the percentile of the Laplace sample mean via percentiles of Chi-square random variables.

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Year of publication:	2009
Authors:	Nguyen, Truc T. ; Chen, John T.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 10, p. 1305-1310
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023202