Journal ArticleDOI
Generalized Gram-Charlier series with application to the sum of log-normal variates (Corresp.)
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A generalized Gram-Charlier series, applicable to non-Gaussian problems, is developed and the high inherent accuracy of the series is demonstrated by development of the expansion for the sum of independent, identically distributed log-normal variates.Abstract:
A generalized Gram-Charlier series, applicable to non-Gaussian problems, is developed. Expressions are given for the first six error coefficients. The high inherent accuracy of the series is demonstrated by development of the expansion for the sum of independent, identically distributed log-normal variates.read more
Citations
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Journal ArticleDOI
Approximate option valuation for arbitrary stochastic processes
Robert A. Jarrow,Andrew Rudd +1 more
TL;DR: This approach permits the impact on the option price of skewness and kurtosis of the underlying stock's distribution to be evaluated and results show how a given probability distribution can be approximated by an arbitrary distribution in terms of a series expansion involving second and higher moments.
Journal ArticleDOI
Approximating a Sum of Random Variables with a Lognormal
TL;DR: A simple, novel, and general method for approximating the sum of independent or arbitrarily correlated lognormal random variables (RV) by a single logn formalism RV without the extremely precise numerical computations at a large number of points that were required by the previously proposed methods.
Journal ArticleDOI
Estimating the distribution of a sum of independent lognormal random variables
TL;DR: Four methods that can be used to approximate the distribution function (DF) of a sum of independent lognormal random variables (RVs) are compared and the results show that the simpler Wilkinson's approach gives a more accurate estimate.
Journal ArticleDOI
Outage probabilities in the presence of correlated lognormal interferers
TL;DR: In this paper, the outage probability of a desired lognormal shadowed signal in the presence of multiple correlated Lognormal cochannel interferers is investigated, and the outage results are presented as a function of the reuse factor, defined as the distance between the centers of two nearest cells using the same frequencies divided by the cell radius.
Journal ArticleDOI
Highly accurate simple closed-form approximations to lognormal sum distributions and densities
Norman C. Beaulieu,F. Rajwani +1 more
TL;DR: A new paradigm to calculate an approximation to the lognormal sum distribution, based on curve fitting on lognorm probability paper, is introduced in this letter.
References
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Journal ArticleDOI
The Sum of Log-Normal Probability Distributions in Scatter Transmission Systems
TL;DR: In this article, the long-term fluctuation of transmission loss in scatter propagation systems has been found to have a logarithmic-normal distribution, i.e., the scatter loss in decibels has Gaussian statistical distribution.
Journal ArticleDOI
Permanence of the Log-Normal Distribution*
TL;DR: In this article, it was shown that the log-normal distribution is a better representation than the normal for the distribution of the sum of lognormal variates, regardless of the size of the receiving aperture.
Journal ArticleDOI
A normal limit theorem for power sums of independent random variables
TL;DR: In this article, it was shown that under very general conditions on the sequence {X n }, the power sums P n will be asymptotically normally distributed, and this result supports a commonly used normal approximation, and shows why many physical quantities obtained by power addition of random variables tend to be normally distributed in dB.
Journal ArticleDOI
Some properties of power sums of truncated normal random variables
TL;DR: In this paper, the power sum of P n n components X 1, X 2, X 3, X 4, X 5, X 6, X 7, X 8, X 9, X 10, X 11, X 12, X 13, X 14, X 15, X 16, X 17, X 18, X 19, X 20, X 21, X 22, X 23, X 24, X 25, X 26
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