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) |
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Uncontrolled Keywords: | amount of fading, cochannel interference, lognormal distribution |

Subjects: | Mathematics, Econometrics Finance |

ID Code: | 228 |

Deposited By: | Dr. Mária Csutora |

Deposited On: | 01 Mar 2011 14:20 |

Last Modified: | 26 May 2011 08:46 |

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