An error bound for moment matching methods of lognormal sum distributions

(creator_code:org_t)

2005
2005
Engelska.
Ingår i: European transactions on telecommunications. - CHICHESTER : John Wiley & Sons, Ltd.. - 1124-318X .- 2161-3915 .- 1541-8251. ; 6:6, s. 573-577

Relaterad länk:: https://urn.kb.se/re...; visa fler...; https://doi.org/10.1...; visa färre...

Abstract Ämnesord

Stäng

To evaluate the distribution function of a sum of lognormal random variables. it is common to use approximation methods based on moment matching. These include the classical and simple Fenton-Wilkinson method, which approximates the sum with a single lognormal variable, having the first two moments matched. In this letter, we give a closed-form bound for the error of the distribution function, resulting from moment matching methods. Numerical evaluation for a typical CDMA case, shows that the bound becomes tight for large processing gains. The error bound can also be used to find bounds on the outage probability.

Om ämnet

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