A discrete analogue of the Laplace distribution

Following Kemp (J. Statist. Plann. Inference 63 (1997) 223) who defined a discrete analogue of the normal distribution, we derive a discrete version of the Laplace (double exponential) distribution. In contrast with the discrete normal case, here closed-form expressions are available for the probability density function, the distribution function, the characteristic function, the mean, and the variance. We show that this discrete distribution on integers shares many properties of the classical Laplace distribution on the real line, including unimodality, infinite divisibility, closure properties with respect to geometric compounding, and a maximum entropy property. We also discuss statistical issues of estimation under the discrete Laplace model.