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Math Help - Conjugate prior of a Laplace distribution

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    Conjugate prior of a Laplace distribution

    Does anyone know what the Bayesian conjugate prior of a Laplace distribution likelihood is?

    Most of the exponential family of distributions have known conjugate priors but the Laplace is not in the exponential family in general. I've been struggling for a while trying to find information on its conjugate prior but I haven't found anything.

    I'm working on a model that would be greatly simplified if I could produce the conjugate for the Laplacian. I am thinking it might be related to the conjugate of the (single-) exponential.
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    Quote Originally Posted by cgari View Post
    Does anyone know what the Bayesian conjugate prior of a Laplace distribution likelihood is?

    Most of the exponential family of distributions have known conjugate priors but the Laplace is not in the exponential family in general. I've been struggling for a while trying to find information on its conjugate prior but I haven't found anything.

    I'm working on a model that would be greatly simplified if I could produce the conjugate for the Laplacian. I am thinking it might be related to the conjugate of the (single-) exponential.
    Of related interest: http://www.math.wm.edu/~leemis/2008amstat.pdf
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