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Log Normal Distribution (From

The log normal distribution models random variables that can be thought of as the product of several independent random variables. It is defined by two parameters, α and β, and has a probability density function given in the document. The log normal distribution can model phenomena like lifetimes, weights, and service times. The document provides formulas for the cumulative distribution function, survivor function, hazard function, and other properties of the log normal distribution.

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26 views

Log Normal Distribution (From

The log normal distribution models random variables that can be thought of as the product of several independent random variables. It is defined by two parameters, α and β, and has a probability density function given in the document. The log normal distribution can model phenomena like lifetimes, weights, and service times. The document provides formulas for the cumulative distribution function, survivor function, hazard function, and other properties of the log normal distribution.

Uploaded by

mipimipi03
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Log normal distribution (from http://www.math.wm.edu/leemis/chart/UDR/UDR.

html)
The shorthand X log normal(, ) is used to indicate that the random variable X has the log
normal distribution with parameters and . A log normal random variable X with parameters
and has probability density function
f (x) =

1
2
1
e 2 (ln(x/)/)
x 2

x>0

for and > 0. The log normal distribution can be used to model the lifetime of an object, the
weight of a person, or a service time. The central limit theorem indicates that the log normal
distribution is useful for modeling random variables that can be thought of as a product of several
independent random variables. The probability density function with three different parameter
settings is illustrated below.
f (x)
1.0

= 5, = 0.5

0.8
0.6

= 1, = 1

0.4

= 1, = 2

0.2
0.0

x
0

10

The cumulative distribution function on the support of X is


!

2 (ln (x) )
1 1
F(x) = P(X x) = + erf
2 2
2
where

x > 0,

x
2
2
erf(x) =
et dt.
0
The survivor function on the support of X is
!

2 (ln (x) )
1 1
S(x) = P(X x) = erf
2 2
2

x > 0.

The hazard function on the support of X is

2
2 1
f (x)
= 2e(ln(x)) /2 x1 1 1 + erf
h(x) =
S(x)

!!1

2 (ln (x) )
2

x > 0.

The cumulative hazard function on the support of X is


H(x) = ln S(x) = ln (2) + i ln 1 + erf

!!

2 (ln (x) )
2

x > 0.

The inverse distribution function, moment generating function, and characteristic function of X are
mathematically intractable.
The median of X is .
The population mean, variance, skewness, and kurtosis of X are
E[X] = e
E

"

3 #

2 /2

V [X] = 2 e (e 1)
"
#
2
2
2
X 4
E
= e4 + 2e3 + 3e2 3

= (e + 2)(e 1)1/2

APPL verification: The APPL statements


assume(alpha > 0);
assume(beta > 0);
X := [[x-> (1/(x*beta*sqrt(2*Pi)))*exp((-1/2)*(ln(x/alpha)/beta)2)],
[0,infinity],["Continuous","PDF"]];
CDF(X);
SF(X);
HF(X);
CHF(X);
Mean(X);
Variance(X);
Skewness(X);
Kurtosis(X);
verify the cumulative distribution function, survivor function, hazard function, cumulative hazard
function, population mean, variance, skewness, and kurtosis.

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