Weighted Sum of Correlated Lognormals: Convolution Integral Solution

Nagy, Tamás (2011) Weighted Sum of Correlated Lognormals: Convolution Integral Solution. Working Paper. BCE. (Submitted)

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Abstract

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.

Item Type:

Monograph (Working Paper)

Uncontrolled Keywords:

amount of fading, cochannel interference, lognormal distribution

Subjects:

Mathematics, Econometrics
Finance

References:

ID Code:

228

Deposited By:

Dr. Mária Csutora

Deposited On: