Log-Laplace distribution

Log-Laplace distribution

Probability density function Probability density functions for Log-Laplace distributions with varying parameters $\mu$ and $b$.

Cumulative distribution function Cumulative distribution functions for Log-Laplace distributions with varying parameters $\mu$ and $b$.

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^X has a log-Laplace distribution. The distributional properties can be derived from the Laplace distribution.

Characterization

A random variable has a log-Laplace(μ, b) distribution if its probability density function is:

$f(x|\mu ,b)=\frac{1}{2bx}\exp (-\frac{|\ln x-\mu |}{b})$

The cumulative distribution function for Y when y > 0, is

$F(y)=0.5[1+\mathrm{sgn}(\ln (y)-\mu )(1-\exp (-|\ln (y)-\mu |/b))].$

Generalization

Versions of the log-Laplace distribution based on an asymmetric Laplace distribution also exist. Depending on the parameters, including asymmetry, the log-Laplace may or may not have a finite mean and a finite variance.