Asymptotic Behavior of Tail Density for Sum of Correlated Lognormal Variables英文文献资料.docVIP

HindawiPublishingCorporation InternationalJournalofMathematicsandMathematicalSciences Volume2009,ArticleID630857,28pages doi:10.1155/2009/630857 ResearchArticle Asymptotic BehaviorofTailDensityforSumof Correlated Lognormal Variables XinGao, HongXu, andDongYe 1 1 2 1Department ofMathematics andStatistics,YorkUniversity,4700KeeleStreet,Toronto,ON, CanadaM3J1P3 2LMAM,Universit′edeMetz,UFR7122B?atimentA,I?ledeSaulcy,57045MetzCedex1,France Correspondence shouldbeaddressedtoXinGao,xingao@mathstat.yorku.ca Received8August2008;Revised3February2009;Accepted 5March2009 Recommended byMichaelEvans We consider the asymptotic behavior of a probability density function for the sum of any two lognormally distributed random variables that are nontrivially correlated. We show that both the left and right tails can be approximated by some simple functions. Furthermore, the same techniques areapplied todetermine thetail probability density function foraratio statistic, and for a sum with more than two lognormally distributed random variables under some stricter conditions. The results yield new insights into the problem of characterization for a sum of lognormally distributed random variables and demonstrate that there is a need to revisit many existingapproximation methods. Copyright q2009XinGaoetal. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use,distribution, andreproduction in anymedium,providedtheoriginalworkisproperlycited. 1.Introduction The lognormal distribution has applications in many ?elds such as survival analysis 1, geneticstudies2,3,?nancialmodelling4,5,telecommunicationstudies6,7amongst others.Ithasbeenfoundthatmanytypesofdatacanbemodeledbylognormaldistributions, which include human blood pressure, microarray data, stock options, survival rate for di?erentgroupsofhumanbeings,andthereceivedpower’slong-term?uctuation.Inthese occasions, we wish to make some in