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LOG-NORMAL DISTRIBUTION

Rather than use average and standard deviation to measure the likely and the
spread of results, Luco and Cornell (1997, proposed that median, x!
and
dispersion, "(ln #
i
are more reasona$le measures, given that the spread of data does
not necessarily follo% a normal distri$ution and that there may $e several e#treme
values in the data& ' log normal distri$ution also restricts the varia$le to positive
num$ers, %hich is often the case in engineering applications&
Definition:
(he log)normal distri$ution is a single)tailed pro$a$ility distri$ution of any random
varia$le %hose logarithm is normally distri$uted& *f + is a random varia$le %ith a
normal distri$ution, then , - e#p(+ has a log)normal distri$ution. like%ise, if , is
log)normally distri$uted, then log(, is normally distri$uted& ((he $ase of the
logarithmic function does not matter/ if loga(, is normally distri$uted, then so is
log$(,, for any t%o positive num$ers a, $ 0 1&
1ro$a$ility density function/


2
, . (
2
2
2
(ln
x
e
x f
x

=
3or # 4 5, %here 6 and " are the mean and standard deviation of the varia$le7s
logarithm ($y definition, the varia$le7s logarithm is normally distri$uted&
8hen 6-5, for various /
Properties:
*f x has a log)normal distri$ution, that is ln(x has a normal distri$ution %ith mean
and standard deviation , then/
9ean/
2 : e#p(
2
+ =
x
;tandard deviation/ 1 e#p(
2
=
x x
9ode/ e#p( (
2
= x Mode
9edian/
n
n
n
i
i
x x x x x
n
x &&& ln(
1
e#p e#p( !
< 2 1
1
=

= =
=

=ispersion/

=

= =
n
i
i x
x
n
1
2
ln
(ln
1
1

*f you are given the normally distri$uted mean 6
#
and standard deviation "
#
for x
%hich is log)normally distri$uted, to find the dispersion and median for a log)normal
distri$ution/

=
2
ln
2
ln
2
1
ln( e#p !
1 ln
x x
x
x
x
x

Confidence intervas:
;pecifying confidence intervals can $e calculated using the log)space or the median
and dispersion (i&e& the geometric mean x!
and geometric standard deviation
e#p(
lnx
/
1ercentile value Log)space 9edian > dispersion
99&9?
< e#p( +
[ ]
<
ln
e#p( !
x
x
97&7?
2 e#p( +
[ ]
2
ln
e#p( !
x
x
@A&1?
e#p( + [ ] e#p( !
ln x
x
B5&5?
e#p(
x!
1B&9?
e#p(
[ ]
1
ln
e#p( !

x
x
2&<?
2 e#p(
[ ]
2
ln
e#p( !

x
x
5&1?
< e#p(
[ ]
<
ln
e#p( !

x
x