# Finding the probability density function for IID rv [duplicate]

The question is as follows:

Suppose that X1 and X2 are independent, identically distributed exponential random variables. Determine the PDF for for X1 - X2.

I understand that because X1 and X2 are IID, they have the same parameter and the same distribution. In this case, it is an exponential distribution. I am also under the assumption that I will need to use some variant of the PDF of the regular distribution:

Other than this, I am not certain how to solve this. Thank you.

• do you know about moment-generating functions? – symplectomorphic Apr 30 '14 at 0:42
• – symplectomorphic Apr 30 '14 at 0:43
• I am familiar with moment generating functions but would like to see some more examples. Let me check the link out that you provided. Ty. – DaGr8Gatzby Apr 30 '14 at 0:45