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David Shor
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Formula for the nth convolution of a laplace random variable

Let x_1, x_2, ... be iid draws from a laplace distribution with scale parameter b. Is there a relatively nice closed form for x_1+x_2+...x_n? I've seen a derivation floating around for when b=1, but I couldn't figure out a generalisation.

David Shor
  • 109
  • 2
  • 4