Let X and Y be i.i.d. Expo(1).Use a convolution integral to show that the PDF of L=X-Y is f(t) = 1/2*(e) for all real t. This is known as the Laplace distribution.

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Let X and Y be i.i.d. Expo(1).Use a convolution integral to show that the PDF of L=X-Y is f(t) = 1/2*(e) for all real t. This is known as the Laplace distribution.