What would be the distribution of $y$, when:
- $y = x^2$ and $x\sim\mathcal{N}(\mu, \sigma^2)$.
- $y = x^2$ and $x\sim$ Log-$\mathcal{N}$.
|
What would be the distribution of $y$, when:
|
|||||||||||
|
|
Assuming $X\sim\mathcal{N}\left(0,1\right)$ then $Y=X^2\sim\mathcal{\chi}_{1}^{2}$. Assuming $X\sim\text{log-}\mathcal{N}\left(0,1\right)$ then $Y=X^2\sim\text{log-}\mathcal{N}\left(0,4\right)$. EDIT: In general, if $X\sim\text{log-}\mathcal{N}\left(\mu,\sigma^2\right)$, then according to the Wikipedia article, $X^\alpha\sim\text{log-}\mathcal{N}\left(\alpha\mu,\alpha^2\sigma^2\right)$. I'm unsure of the general case for $X^\alpha$ when $X\sim\mathcal{N}\left(0,1\right)$. |
||||
|
|
|
Max answered the second question. |
|||
|
|