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DITmoonlight
11-27-2007, 11:27 AM
This is kind of a silly question but I just want to make sure...

Since the variance of a lognormal is (e^sigma^2 -1)e^2mu+sigma^2,

If I get a question to solve the variance of a lognormal and i have sigma, do I raise e to the variance or do I multiply sigma by 2 since it's a power of a power?

daaaave
11-27-2007, 11:38 AM
You raise e to the variance. Adding parentheses, I get

Var X = \left[\exp(\sigma^2) -1 \right]\exp\left(2 \mu + \sigma^2\right)

for X=e^Z, \qquad Z \sim N(\mu, \sigma^2)

DITmoonlight
11-27-2007, 11:48 AM
I thought so but I wasn't sure since I didn't have any problems about it in my book.
Thanks again Dave!

bmifsud
11-28-2007, 12:04 AM
How do you figure out mu there?

bmifsud
11-28-2007, 02:40 PM
Can someone explain how you found mu here?

Actuarialsuck
11-28-2007, 02:45 PM
What do you mean how? If you are not given it? There's various techniques you will learn on course 4, MoM, MLE, etc. (assuming you are given data to estimate it from)