The Distribution of the Logarithm of the Sum of Two Log-Normal Variates
- 1 June 1969
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 64 (326) , 655
- https://doi.org/10.2307/2283649
Abstract
Let Z 1, Z 2 be two independent, identically distributed random variables whose logarithms are normally distributed. We derive the generating function, expectation, and variance of the logarithm of the sum of Z 1 and Z 2. The expressions for the expectation and variance involve the sums of rapidly converging series. Converging upper and lower bounds to the expectation are given to indicate the number of terms in the series that need to be evaluated to yield a specified number of significant places.Keywords
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