Description
A random variable
has lognormal distribution with parameters
 ,
 ,
if
 ,
where
has a normal
distribution with the same parameters
,
.
Lognormal random variable is continuous and takes only positive values.
Graphs of a density function
(bound to the left axis)
and cumulative distribution function
(bound to the right axis) with parameters
=0,
=0.7
are shown on the following picture..
Characteristics
Next table contains formulae for calculation of
characteristics of lognormal distribution.
* Lognormal CDF does not possess closed form expression.
Simulation
Simulation of lognormal variable
with parameters
,
is made by ,
where
has normal distribution with the same parameters.
Simulation of normal variables is presented
here.
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