Asymptotic Behavior of Tail Density for Sum of Correlated Lognormal Variables

Xin Gao, Hong Xu and Dong Ye

International Journal of Mathematics and Mathematical Sciences, 2009, vol. 2009, 1-28

Abstract:

We consider the asymptotic behavior of a probability density function for the sum of any two lognormally distributed random variables that are nontrivially correlated. We show that both the left and right tails can be approximated by some simple functions. Furthermore, the same techniques are applied to determine the tail probability density function for a ratio statistic, and for a sum with more than two lognormally distributed random variables under some stricter conditions. The results yield new insights into the problem of characterization for a sum of lognormally distributed random variables and demonstrate that there is a need to revisit many existing approximation methods.

Date: 2009
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://downloads.hindawi.com/journals/IJMMS/2009/630857.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJMMS/2009/630857.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:630857

DOI: 10.1155/2009/630857

Access Statistics for this article

More articles in International Journal of Mathematics and Mathematical Sciences from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().