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Subject: Approximation sum of 2 lognormal RVs
Date: Mon, 29 Dec 2008 23:41:02 +0000 (UTC)
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Hi,

I am looking for a function that can approximate parameters (mean and sigma) for the sum of 2 lognormal distributions. I know the mean and sigma of log(X) and log(Y).  The question is how to estimate the mean and sigma of (Z) and its distribution if not lognormal (assuming Z = X + Y).

Has anyone seen work related to this question?
Thanks
Pete