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Approximating the Sum of Correlated Lognormal or Lognormal-Rice Random Variables

Mehta, N B ; Molisch, Andreas LU ; Wu, J and Zhang, J (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:
author
; ; and
organization
publishing date
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
2021-03-14 04:06:26
@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},
}