``Average-Value Paradox'' of the Lognormal Distribution
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概要
- 論文の詳細を見る
This letter reports seemingly paradoxical behavior of the average of a lognormal distribution. The authors consider a simple stochastic process given by multiplication of uniform random variables. The central limit theorem ensures that a lognormal distribution is asymptotically a good approximation to the actual distribution. Nevertheless, the average of this approximate distribution deviates from the true value. As a solution to this conflict, the authors clarify that the average is generally not preserved under a nonlinear transformation of a random variable, and this causes the disagreement of the lognormal approximation. Instead of the average, the median is proved to be compatible with such a transformation.
- The Physical Society of Japanの論文
- 2013-11-15
著者
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Wakita Jun-ichi
Department Of Physics Chuo University
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Yamamoto Ken
Department Of Anesthesiology And Intensive Care Medicine Graduate School Of Medical Science Kanazawa
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Wakita Jun-ichi
Department of Physics, Faculty of Science and Engineering, Chuo University, Bunkyo, Tokyo 112-8551, Japan
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