Estimation of typical sum of lognormal random variables using log shifted gamma approximation

The sum of lognormal distributions is a well-known problem that no closed-form expression exists and it is difficult to evaluate numerically. In this paper, log shifted gamma (LSG) approximation method is proposed to represent the sum of lognormal distributions and to derive a closed-form expression...

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Bibliographic Details
Published in:IEEE communications letters 2006-04, Vol.10 (4), p.234-235
Main Authors: Lam, C.-L.J., Le-Ngoc, T.
Format: Article
Language:English
Subjects:
Applied sciences
Approximation
Approximation methods
Biological system modeling
Closed-form solution
Current
Distributed computing
Exact sciences and technology
Exact solutions
Finance
Fluctuations
Information, signal and communications theory
Mathematical analysis
Mathematical methods
Mathematical models
Physics
Random variables
Statistical distributions
Telecommunications and information theory
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Summary:The sum of lognormal distributions is a well-known problem that no closed-form expression exists and it is difficult to evaluate numerically. In this paper, log shifted gamma (LSG) approximation method is proposed to represent the sum of lognormal distributions and to derive a closed-form expression of the typical value of the sum. Illustrative results show that the LSG model provides much more accurate approximation than other previous methods for a wide range of lognormal variances.
ISSN:1089-7798
1558-2558
DOI:10.1109/LCOMM.2006.1613731