Title :
Limit theorem on the sum of identically distributed equally and positively correlated joint lognormals
Author :
Szyszkowicz, Sebastian S. ; Yanikomeroglu, Halim
Author_Institution :
Dept. of Syst. & Comput. Eng., Carleton Univ., Ottawa, ON, Canada
fDate :
12/1/2009 12:00:00 AM
Abstract :
We prove that the distribution of the sum of N identically distributed jointly lognormal random variables, where all pairs have the same strictly positive correlation coefficient, converges to a lognormal with known parameters as N becomes large. We confirm our theorem by simulations and give an application of the theorem.
Keywords :
correlation methods; light interference; log normal distribution; correlated joint lognormals; correlation coefficient; identically distributed; limit theorem; Helium; Interference; Mathematics; Microelectronics; Photonics; Physics; Power generation economics; Random variables; Shadow mapping; Wireless communication; Sum of lognormals; interference analysis;
Journal_Title :
Communications, IEEE Transactions on
DOI :
10.1109/TCOMM.2009.12.070539