 Solution

For this rate parametrization of the Laplace distribution, $\mu$ is its mean and median. By symmetry, $\mathbb{E}(X-\mu )=0$, while $|X-\mu |$ has exponential distribution with rate $\lambda$, soThe integral follows by two applications of integration by parts. The central limit theorem therefore givesWith known $\lambda$ and the supplied cutoff 2, an approximate 95% confidence interval isThis known-rate Laplace location confidence interval uses the sample mean; the later maximum-likelihood estimator of location need not be used to construct this valid asymptotic confidence interval.