Asymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen and Leonardo Rojas-Nandayapa

Statistics & Probability Letters, 2008, vol. 78, issue 16, 2709-2714

Abstract: Let (Y1,...,Yn) have a joint n-dimensional Gaussian distribution with a general mean vector and a general covariance matrix, and let , Sn=X1+...+Xn. The asymptotics of as n-->[infinity] are shown to be the same as for the independent case with the same lognormal marginals. In particular, for identical marginals it holds that no matter what the correlation structure is.

Date: 2008
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