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A connection between the double gamma model and Laplace sample mean

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  • Nguyen, Truc T.
  • Chen, John T.

Abstract

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.

Suggested Citation

  • Nguyen, Truc T. & Chen, John T., 2009. "A connection between the double gamma model and Laplace sample mean," Statistics & Probability Letters, Elsevier, vol. 79(10), pages 1305-1310, May.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:10:p:1305-1310
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    References listed on IDEAS

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    1. Annis, David H., 2007. "A note on quasi-likelihood for exponential families," Statistics & Probability Letters, Elsevier, vol. 77(4), pages 431-437, February.
    2. Masakazu Iwasaki & Hiroe Tsubaki, 2005. "A new bivariate distribution in natural exponential family," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 61(3), pages 323-336, June.
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    Cited by:

    1. Langrené, Nicolas & Warin, Xavier, 2021. "Fast multivariate empirical cumulative distribution function with connection to kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 162(C).

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