期刊名称：International Journal of Mathematics and Mathematical Sciences
印刷版ISSN：0161-1712
电子版ISSN：1687-0425
出版年度：2009
卷号：2009
DOI：10.1155/2009/630857
出版社：Hindawi Publishing Corporation
摘要：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.
