The Logarithm of the Sum of Two Correlated Log-Normal Variates
- 1 March 1971
- journal article
- research article
- Published by JSTOR in Journal of the American Statistical Association
- Vol. 66 (333) , 105
- https://doi.org/10.2307/2284858
Abstract
Naus [2] derived the moment generating function of the logarithm of the sum of two variates whose logarithms are independent normal variates with equal variances. The present article generalizes the results of Naus to the case when the logarithms of the variates have a bivariate normal distribution with unequal variances and correlation coefficient ρ.Keywords
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