An error bound for moment matching methods of lognormal sum distributions

✍ Scribed by Berggren, Fredrik

• Publisher: John Wiley and Sons
• Year: 2005
• Tongue: English
• Weight: 98 KB
• Volume: 16
• Category: Article
• ISSN: 1124-318X
• DOI: 10.1002/ett.1054

✦ Synopsis

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 (FW) 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.