Probability density function (pdf) for sum of n

correlated lognormal variables is deducted as a special

convolution integral. Pdf for weighted sums (where weights can

be any real numbers) is also presented. The result for four

dimensions was checked by Monte Carlo simulation

Nagy, Tamás

Corvinus Research Archive

English

A simple bound on the outage probability with lognormally distributed interferers,”

A Systematic Procedure for Accurately Approximating Lognormal-Sum Distributions,”

An optimal lognormal approximation to lognormal sum distribution,”

Approximating a Sum of Random Variables with a Lognormal,”

Asian options, the sum of lognormals and the reciprocal gamma distribution,”

Bounds on the Distribution of a Sum of Correlated Lognormal Random Variables and Their Application,”

Bounds on the distribution of a sum of independent lognormal random variables,”

Generating Random Numbers and Random Variables” in Monte Carlo Methods

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The sum of lognormal probability distributions in scatter transmission systems,”

Weighted Sum of Correlated Lognormals: Convolution Integral Solution