Approximating the Sum of Correlated Lognormal or Lognormal-Rice Random Variables
(2006) IEEE International Conference on Communications, ICC 2006- Abstract
- A simple and novel method is presented to approximate by the lognormal distribution the probability density function of the sum of correlated lognormal random variables. The method is also shown to work well for approximating the distribution of the sum of lognormal-Rice or Suzuki random variables by the lognormal distribution. The method is based on matching a low-order Gauss-Hermite approximation of the moment-generating function of the sum of random variables with that of a lognormal distribution at a small number of points. Compared with methods available in the literature such as the Fenton-Wilkinson method, Schwartz-Yeh method, and their extensions, the proposed method provides the parametric flexibility to address the inevitable... (More)
- A simple and novel method is presented to approximate by the lognormal distribution the probability density function of the sum of correlated lognormal random variables. The method is also shown to work well for approximating the distribution of the sum of lognormal-Rice or Suzuki random variables by the lognormal distribution. The method is based on matching a low-order Gauss-Hermite approximation of the moment-generating function of the sum of random variables with that of a lognormal distribution at a small number of points. Compared with methods available in the literature such as the Fenton-Wilkinson method, Schwartz-Yeh method, and their extensions, the proposed method provides the parametric flexibility to address the inevitable trade-off that needs to be made in approximating different regions of the probability distribution function. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/600872
- author
- Mehta, N B ; Molisch, Andreas LU ; Wu, J and Zhang, J
- organization
- publishing date
- 2006
- type
- Chapter in Book/Report/Conference proceeding
- publication status
- published
- subject
- host publication
- 2006 IEEE International Conference on Communications
- publisher
- IEEE - Institute of Electrical and Electronics Engineers Inc.
- conference name
- IEEE International Conference on Communications, ICC 2006
- conference location
- Istanbul, Turkey
- conference dates
- 2006-06-11 - 2006-06-15
- external identifiers
-
- scopus:34547770133
- DOI
- 10.1109/ICC.2006.255040
- language
- English
- LU publication?
- yes
- id
- 1c03252d-9120-4cfb-a2ab-1043cc1a5bcd (old id 600872)
- date added to LUP
- 2016-04-04 13:13:22
- date last changed
- 2022-04-19 05:12:15
@inproceedings{1c03252d-9120-4cfb-a2ab-1043cc1a5bcd,
abstract = {{A simple and novel method is presented to approximate by the lognormal distribution the probability density function of the sum of correlated lognormal random variables. The method is also shown to work well for approximating the distribution of the sum of lognormal-Rice or Suzuki random variables by the lognormal distribution. The method is based on matching a low-order Gauss-Hermite approximation of the moment-generating function of the sum of random variables with that of a lognormal distribution at a small number of points. Compared with methods available in the literature such as the Fenton-Wilkinson method, Schwartz-Yeh method, and their extensions, the proposed method provides the parametric flexibility to address the inevitable trade-off that needs to be made in approximating different regions of the probability distribution function.}},
author = {{Mehta, N B and Molisch, Andreas and Wu, J and Zhang, J}},
booktitle = {{2006 IEEE International Conference on Communications}},
language = {{eng}},
publisher = {{IEEE - Institute of Electrical and Electronics Engineers Inc.}},
title = {{Approximating the Sum of Correlated Lognormal or Lognormal-Rice Random Variables}},
url = {{http://dx.doi.org/10.1109/ICC.2006.255040}},
doi = {{10.1109/ICC.2006.255040}},
year = {{2006}},
}