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DerivingMeanandVarianceofLaplaceDistribution
IthasbeenalongtimesinceIhaveusedcalculus,andIamtryingtounderstandhowthemeanandvarianceoftheLaplace
distributionwithpdf
|x|

f (x|, ) =

e
2

arederived.
andVar[X ]

= 2

,butIdon'tunderstandhowthathappens.

Manythanks.
(calculus ) (integration) (statistics ) (probabilitydistributions ) (improperintegrals )
editedSep7'14at15:57

askedSep7'14at14:31

TunkFey
21.3k

YourdistributionappearstobejustthetypicalLaplacedistribution,soI'veremoved'generalized'fromthe

titlewhileeditingtherestintoMathjaxform.TheremaybegeneralizedLaplacedistributions,butthisisn'tit.
SemiclassicalSep7'14at14:37

3Answers

Letu

,thenwehavex

anddx

= x

= u +

= du

.Bylinearitywehave

,hence

E[X ] = E[U + ] = E[U ] +

|u|

1
E[X ] =

2
0

ue

du +

ue du +

2 0

ue

du +

setu=u

1
=

ue

2 0

du +

ue

2 0

du +

and
E[X

] = E[(U + ) ]
2

= E[U

= E[U

] + 2 E[U ] +

] + 2 E[X ] +

|u|

u e

2
0

du +

1
1
2
u e du +
2
2 0

u
2

u e

du +

setu=u

1
=

2 0

u e

1
du +

u
2

u e du +
0

setv=

= 2

2 0

v e
0
2

+ ,

dv +

u
2

u e

du +

tour

help

Here'showitworks:

Signup

IknowthatE[X ]

login

NonNormal
60

96

38

where

(n + 1) =

v e

dv = n!

fornnatural number.

Thus
Var[X ] = E[X

] (E[X ])

answeredSep7'14at15:53

TunkFey
21.3k

60

96

Thankyoufortakingthetimetogothroughitstepbystep.Ineedtogetbetteratrecognizingwhento

substitute. NonNormal Sep8'14at0:25

@NonNormalYou'rewelcome. TunkFey Sep8'14at4:22

RecallthatthesupportofaLaplaceDistributedrandomvariableX istherealline,sowehave
toevaluatethefollowingintegral:

E [X ] =

xf X (x)dx =

|x|/

dx

Ithinkthatitistheabsolutevaluethatisconfusingyouhere,yes?
Thesolutionwouldbetosplititinto(disjoint)partswherethesignchanges,thatisgetridof
theabsolutevalueandevaluatethemseparately:

1
x

|x|/

dx =

dx +

dx

Youcannowproceedbyemployingintegrationbypartsoneachintegral.Thisshouldgiveyou
themean.
ForthevarianceyoualsoneedtousethesamemethodandevaluateE[X ].Youmaythenuse
thevarianceformula:var(X ) = E[X ] [E[X ]] toobtainyourotherresult.
2

Hopethishelps.
answeredSep7'14at15:08

JohnK
2,209

11

24

Thatmakessense.I'vebeentryingtobrushuponmyintegration,butIkeptrunningintoissuesandgetting

wonkyanswers.Thanks! NonNormal Sep8'14at0:20

@NonNormalFeelfreetoupvote^^ JohnK Sep8'14at6:31

Standardizingthedistributionwillmakethecalculationsmuchsimpler.LetY
thenthePDFofY is

= (X )/

1 |y|
f Y (y) = f X ( + y)
[ + y] =
e
.
2
dy

Hence
E[X ] = E[ + Y ] = + E[Y ].

Butnotethat

andyf

Y (y)

ye

dy = (2) < ,

y=0

isanoddfunction,henceE[Y ]

= 0

andE[X ]

Similarly,thevarianceisbestobtainedthroughY :itisasimplemattertocomputethesecond
momentofY ,sincetheintegrandisanevenfunction:
E[Y

1
] =

2 y=

|y|

y e

dy =

y e

dy = (3) = 2.

y=0

Consequently,
2

Var[X ] = E[(X ) ] =

E[Y

] = 2

editedSep7'14at16:28

answeredSep7'14at16:15

heropup
43k

36

79