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Results tagged with lognormal-distribution
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user 2116
A lognormal distribution is the distribution of a random variable whose logarithm has a normal distribution.
21
votes
Accepted
Correlation of log-normal random variables
I assume that $X_1\sim N(0,\sigma_1^2)$ and $X_2\sim N(0,\sigma_2^2)$. Denote $Z_i=\exp(\sqrt{T}X_i)$. Then
\begin{align}
\log(Z_i)\sim N(0,T\sigma_i^2)
\end{align}
so $Z_i$ are log-normal. Thus
\b …
- 35.4k
3
votes
Lognormal distribution from world bank quintiles PPP data
I'm giving another answer, since more details about data were given. From the initial question it seemed that some quantiles are observed but that is not the case. The data is calculated in the follow …
- 35.4k
3
votes
Logarithmic regression with individual errors
It is good to remember what is the purpose of the weighting. Suppose we have linear regression
\begin{align}
\mathbf{y}=\mathbf{X}\mathbf{\beta}+\mathbf{\varepsilon}
\end{align}
In this case $\sigma …
- 35.4k
3
votes
Lognormal distribution from world bank quintiles PPP data
Here is the example of the quick and dirty R code to illustrate what Michael suggested:
Define quantiles available:
q<-c(0.1,0.2,0.4,0.6,0.8,0.9)
Create artificial data and add some noise
data <- …
- 35.4k