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In [[probability theory]] and [[statistics]], the '''log-Laplace distribution''' is the [[probability distribution]] of a [[random variable]] whose [[logarithm]] has a [[Laplace distribution]]. If ''X'' has a [[Laplace distribution]] with parameters ''μ'' and ''b'', then ''Y'' = ''e''<sup>''X''</sup> has a log-Laplace distribution. The distributional properties can be derived from the Laplace distribution. | |||
==Characterization== | |||
===Probability density function=== | |||
A [[random variable]] has a Laplace(''μ'', ''b'') distribution if its [[probability density function]] is:<ref>{{cite book|title=Statistical analysis of stochastic processes in time|author=Lindsey, J.K.|page=33|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83741-5}}</ref> | |||
:<math>f(x|\mu,b) = \frac{1}{2bx} \exp \left( -\frac{|\ln x-\mu|}{b} \right) \,\!</math> | |||
::<math> = \frac{1}{2bx} | |||
\left\{\begin{matrix} | |||
\exp \left( -\frac{\mu-\ln x}{b} \right) & \mbox{if }x < \mu | |||
\\[8pt] | |||
\exp \left( -\frac{\ln x-\mu}{b} \right) & \mbox{if }x \geq \mu | |||
\end{matrix}\right. | |||
</math> | |||
The [[cumulative distribution function]] for ''Y'' when ''y'' > 0, is | |||
: <math>F(y) = 0.5\,[1 + \sgn(\log(y)-\mu)\,(1-\exp(-|\log(y)-\mu|/b))].</math> | |||
Versions of the log-Laplace distribution based on an [[asymmetry|asymmetric]] Laplace distribution also exist.<ref name=growth/> Depending on the parameters, including asymmetry, the log-Laplace may or may not have a finite [[mean]] and a finite [[variance]].<ref name=growth>{{cite web|title=A Log-Laplace Growth Rate Model|url=http://wolfweb.unr.edu/homepage/tkozubow/0_logs.pdf|author=Kozubowski, T.J. & Podgorski, K.|page=4|publisher=University of Nevada-Reno|accessdate=2011-10-21}}</ref> | |||
==References== | |||
{{reflist}} | |||
{{ProbDistributions|continuous-semi-infinite}} | |||
[[Category:Continuous distributions]] | |||
[[Category:Probability distributions with non-finite variance]] | |||
{{probability-stub}} | |||
[[Category:Probability distributions]] |
Revision as of 17:18, 31 January 2014
In probability theory and statistics, the log-Laplace distribution is the probability distribution of a random variable whose logarithm has a Laplace distribution. If X has a Laplace distribution with parameters μ and b, then Y = eX has a log-Laplace distribution. The distributional properties can be derived from the Laplace distribution.
Characterization
Probability density function
A random variable has a Laplace(μ, b) distribution if its probability density function is:[1]
The cumulative distribution function for Y when y > 0, is
Versions of the log-Laplace distribution based on an asymmetric Laplace distribution also exist.[2] Depending on the parameters, including asymmetry, the log-Laplace may or may not have a finite mean and a finite variance.[2]
References
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