In another question here at Cross Validated, one user asked for the correlation of log-normal random variables.

Here's the link for the question: Correlation of log-normal random variables

The accepted answer presents an equation for the correlation between log-normal random variables Y1 e Y2 as final answer.

enter image description here

I'd like to find/know if there's a reference for this equation, either in an article or in a book. I have been searching for it in books and articles in my field (Operational Hydrology) but I haven't been able to find it so far.


1 Answer 1


You can find it in Johnson and Kotz (1972) p20. [1]

an alternative reference (that refers to Johnson & Kotz) is Lai, Rayner & Hutchinson (1999) [2]

[1] Johnson, N. L. and Kotz, S. (1972).
Distributions in Statistics: Continuous Multivariate Distributions.
New York, Wiley.

[2] Lai, C.D., J.C.W. Rayner, and T.P. Hutchinson, (1999),
"Robustness of the sample correlation the bivariate lognormal case,"
Journal of Applied Mathematics & Decision Sciences, 3(1), 7-19


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.