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arXiv · 1501.02347

Highly Accurate Log Skew Normal Approximation to the Sum of Correlated Lognormals

Marwane Ben Hcine·Ridha Bouallegue
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Abstract

Several methods have been proposed to approximate the sum of correlated lognormal RVs. However the accuracy of each method relies highly on the region of the resulting distribution being examined, and the individual lognormal parameters, i.e., mean and variance. There is no such method which can provide the needed accuracy for all cases. This paper propose a universal yet very simple approximation method for the sum of correlated lognormals based on log skew normal approximation. The main contribution on this work is to propose an analytical method for log skew normal parameters estimation. The proposed method provides highly accurate approximation to the sum of correlated lognormal distributions over the whole range of dB spreads for any correlation coefficient. Simulation results show that our method outperforms all previously proposed methods and provides an accuracy within 0.01 dB for all cases.

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Marwane Ben Hcine, Ridha Bouallegue. 2015-01-10. Highly Accurate Log Skew Normal Approximation to the Sum of Correlated Lognormals. https://doi.org/10.5121/csit.2014.41304

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