Let $x_1, x_2, ...$ be i.i.d. 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 generalization.
Formula for the nth convolution of a Laplace random variable
David Shor
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