David C. Howell <[EMAIL PROTECTED]> wrote:
> I want to know the sampling distribution
> of the sum of lognormal distributions.
To the best of my knowledge, the pdf you seek does not have a
closed-form. The characteristic function has been derived, but
it is a real nasty beast: see, for instance:
Leipnik, Roy (1991), "On Lognormal Random Variables:
I. The characteristic function", J. Australian Math Soc Series B,
32, 327-347.
If you desire the moments of the sampling distribution of the sum
of lognormals, mathStatica can easily derive same (in fact, it can do
this for any distribution whose moments exist).
Cheers
Colin
______________________________
Dr Colin Rose
mathStatica Pty Ltd
Email: [EMAIL PROTECTED]
Web: www.mathStatica.com
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