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Bivariate Lognormal

In: Statistical Distributions

Author

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  • Nick T. Thomopoulos

    (Illinois Institute of Technology, Stuart School of Business)

Abstract

The author in [Thomopoulos and Longinow (1984). p 3045–3049] showed how to compute the cumulative probability for the bivariate lognormal distribution in a structural engineering reliability problem. The bivariate lognormal distribution with variables x1, x2 appears at first to be difficult to maneuver, but by taking the natural log of each of the two variables, the bivariate normal distribution emerges and this distribution is easier to handle. The five parameters of the bivariate normal distribution become the parameters to the bivariate lognormal distribution. The chapter shows how to convert the parameters from the bivariate lognormal to the bivariate normal and vice versa. Shown also is how to compute the correlation for the bivariate lognormal pair, and how to compute the joint probability of any pair (x1, x2). An example is given to aid the reader in the methodology.

Suggested Citation

  • Nick T. Thomopoulos, 2017. "Bivariate Lognormal," Springer Books, in: Statistical Distributions, chapter 0, pages 165-169, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-65112-5_20
    DOI: 10.1007/978-3-319-65112-5_20
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