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Log-normal
Probability density function
Plot of the Lognormal PMF
μ=0
Cumulative distribution function
Plot of the Lognormal CMF
μ=0
Parameters
Support
pdf
cdf
Mean
Median
Mode
Variance
Skewness
Kurtosis
Entropy
mgf (see text for raw moments)
Char. func.

In probability and statistics, the log-normal distribution is the probability distribution of any random variable whose logarithm is normally distributed. If X is a random variable with a normal distribution, then exp(X) has a log-normal distribution; likewise, if Y is log-normally distributed, then log(Y) is normally distributed.

"Log-normal" is also written "log normal", "lognormal" or "logistic normal".

A variable might be modeled as log-normal if it can be thought of as the multiplicative product of many small independent factors. A typical example is the long-term return rate on a stock investment: it can be considered as the product of the daily return rates.

The log-normal distribution has probability density function (pdf)

for , where and are the mean and standard deviation of the variable's logarithm. The expected value is

and the variance is

Equivalent relationships may be written to obtain and given the expected value and standard deviation:

Relationship to geometric mean and geometric standard deviation

Log-normal distribution the geometric mean, and the geometric standard deviation are related. In this case, the geometric mean is equal to and the geometric standard deviation is equal to .

If a sample of data is determined to come from a log-normally distributed population, the geometric mean and the geometric standard deviation may be used to estimate confidence intervals akin to the way the arithmetic mean and standard deviation are used to estimate confidence intervals for a normally distributed sample of data.

Confidence interval bounds log space geometric
3σ lower bound
2σ lower bound
1σ lower bound
1σ upper bound
2σ upper bound
3σ upper bound

Where geometric mean and geometric standard deviation

Moments

The first few raw moments are:

or generally:

Partial expectation

The partial expectation of a random variable with respect to a threshold is defined as

where is the density. For a lognormal density it can be shown that

where is the cumulative distribution function of the standard normal. The partial expectation of a lognormal has applications in insurance and in economics.

Maximum likelihood estimation of parameters

For determining the maximum likelihood estimators of the log-normal distribution parameters μ and σ, we can use the same procedure as for the normal distribution. To avoid repetition, we observe that

where by we denote the density probability function of the log-normal distribution and by —that of the normal distribution. Therefore, using the same indices to denote distributions, we can write the log-likelihood function thus:

Since the first term is constant with regards to μ and σ, both logarithmic likelihood functions, and , reach their maximum with the same μ and σ. Hence, using the formulas for the normal distribution maximum likelihood parameter estimators and the equality above, we deduce that for the log-normal distribution it holds that

Related distributions

  • is a normal distribution if and .
  • If are independent log-normally distributed variables with the same μ parameter and possibly varying σ, and , then Y is a log-normally distributed variable as well: .

Further reading

References

See also

Bvn-small.png Probability distributions [[[:Template:Tnavbar-plain-nodiv]]]
Univariate Multivariate
Discrete: BernoullibinomialBoltzmanncompound PoissondegeneratedegreeGauss-Kuzmingeometrichypergeometriclogarithmicnegative binomialparabolic fractalPoissonRademacherSkellamuniformYule-SimonzetaZipfZipf-Mandelbrot Ewensmultinomial
Continuous: BetaBeta primeCauchychi-squareDirac delta functionErlangexponentialexponential powerFfadingFisher's zFisher-TippettGammageneralized extreme valuegeneralized hyperbolicgeneralized inverse GaussianHotelling's T-squarehyperbolic secanthyper-exponentialhypoexponentialinverse chi-squareinverse gaussianinverse gammaKumaraswamyLandauLaplaceLévyLévy skew alpha-stablelogisticlog-normalMaxwell-BoltzmannMaxwell speednormal (Gaussian)ParetoPearsonpolarraised cosineRayleighrelativistic Breit-WignerRiceStudent's ttriangulartype-1 Gumbeltype-2 GumbeluniformVoigtvon MisesWeibullWigner semicircle DirichletKentmatrix normalmultivariate normalvon Mises-FisherWigner quasiWishart
Miscellaneous: Cantorconditionalexponential familyinfinitely divisiblelocation-scale familymarginalmaximum entropy phase-typeposterior priorquasisampling

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