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/
π σ
σ µ
σ
µ
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 σ/
Properties:
*f x has a log)normal distri$ution, that is ln(x has a normal distri$ution %ith mean μ
and standard deviation σ, then/
9ean/
2 : e#p(
2
σ µ µ + =
x
;tandard deviation/ 1 e#p(
2
− × = σ µ σ
x x
9ode/ e#p( (
2
σ µ − = x Mode
9edian/
n
n
n
i
i
x x x x x
n
x &&& ln(
1
e#p e#p( !
< 2 1
1
=







= =
=
µ
=ispersion/

=


= =
n
i
i x
x
n
1
2
ln
(ln
1
1
µ σ σ
*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 σ µ
µ
σ
σ
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(σ
lnx
/
1ercentile value Log)space 9edian > dispersion
99&9?
< e#p( σ µ +
[ ]
<
ln
e#p( !
x
x σ ⋅
97&7?
2 e#p( σ µ +
[ ]
2
ln
e#p( !
x
x σ ⋅
@A&1?
e#p( σ µ + [ ] e#p( !
ln x
x σ ⋅
B5&5?
e#p(µ
x!
1B&9?
e#p( σ µ−
[ ]
1
ln
e#p( !


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


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


x
x σ

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