Fitting a Laplacean distribution to the data in Stata

[remat]

Hi to everyone! (as this is my first post on the TalkStats)

I am trying to figure out whether there exists a function in Stata that allows one to fit a Laplacean distribution to the data. As I am currently investigating sample distributions of stock market returns and FX fluctuations, this fit would be very desirable.

If such a function does not exist yet, can someone please point to some good (intuitive) online resources on Mata?

Thanks in advance to all contributors for help!

 

[BGM]

I am not familiar with Stata. But I just wonder do you mean fitting a Laplace distribution:

http://en.wikipedia.org/wiki/Laplace_distribution

In this case the MLE is in closed form:

http://en.wikipedia.org/wiki/Laplace_distribution#Parameter_estimation

 

[remat]

Thank you, BGM.

Perhaps I did not make myself sufficiently clear. To start with, I would only like to superimpose the Laplacean density function on the histogram of my data (aforementioned stock and FX examples). I would like to achieve an effect similar to this:

 

[bukharin]

Not sure, but the user-written -kdens- function (available from SSC using -ssc install kdens-) might give you a starting point:
http://www.stata.com/statalist/archive/2006-02/msg00090.html

 

[Dason]

I don't know STATA but just for reference the Laplacean distribution is also referred to as the double exponential distribution sometimes.