STATISTICAL POWER SUM ANALYSIS FOR NONIDENTICALLY
DISTRIBUTED CORRELATED LOGNORMAL SIGNALS
Pekka Pirinen
Telecommunication Laboratory and Centre for Wireless Communications,
P.O. Box 4500, FIN-90014 University of Oulu, FINLAND, pekka.pirinen@ee.oulu.fi
ABSTRACT
Sum statistics of multiple lognormally distributed corre-
lated random variables are studied in the case of non-
identical means and standard deviations. The Fenton-
Wilkinson and Ho’s modification of the Schwartz-Yeh
approximation are used as analytical tools. Their accu-
racy is tested with Monte Carlo simulations. Numerical
results show that both approximations fail to match simu-
lation results in the case of nonidentically distributed
correlated signals. The Fenton-Wilkinson approximation
breaks down if standard deviations are large. The
Schwartz-Yeh approximation is quite accurate for the
mean and standard deviation statistics for uncorrelated
signals. Overall, it seems best to rely on Monte Carlo
simulations if the lognormal sum is composed of many
heterogeneous correlated components.
1. INTRODUCTION
In cellular systems co-channel interference (CCI) is the
major limiting factor for the capacity and transmission
quality. Therefore, it is essential to find out the statistics
of CCI for the accurate modeling and possible mitigation
of the detrimental effects of CCI. In FDMA and TDMA
cellular networks the frequency reuse factor is usually
greater than one. This means that CCI comes from adja-
cent reuse cells. Also, the number effective CCI sources
is typically quite small. In cellular CDMA systems CCI
can be severe, because it can originate both from the de-
sired cell (intracell interference) and the surrounding
cells (intercell interference).
Co-channel interference can be considered to a su-
perposition of distance-dependent attenuation (path loss),
short-term fluctuations, and long-term variations. Mobile
radio channel measurements have shown that the log-
normal distribution fits as a statistical model for the local
mean of the received signal. It takes into account the path
loss and slow fading (shadowing). In direct sequence
CDMA networks the power control is essential. The im-
pact of imperfect power control has also been found to
follow lognormal statistics in many cases.
Lognormal sum approximations are well described in
the open literature [1]−[8]. The Fenton-Wilkinson (FW)
approximation was originally published in 1960 [1]. The
other widely used approximation is the Schwartz-Yeh
(SY) approximation [2]. These approximations were first
derived for uncorrelated signals. Later they were ex-
tended to correlated signals [3]–[5]. Recently, lognormal
sum approximations have been applied to systems, where
both the desired signal and interference can be composed
of several lognormal components [9].
Most of the aforementioned analyses have assumed
identical statistics for the component signals. The contri-
bution of this paper is to study the combined effect of
correlation and variability of the component means and
variances to the sum distribution.
2. LOGNORMAL SUM APPROXIMATIONS
Unfortunately, there is no known exact result for the dis-
tribution of the sum of several lognormal signal compo-
nents. Therefore, many approximations have been de-
rived for this purpose. The common feature of these log-
normal sum approximations is that they model the sum
distribution being lognormal as well. Usually, the mean
and standard deviation of the lognormal distribution are
given in decibel units. In the calculations it may be more
convenient to use the natural logarithm instead of the 10-
base logarithm. The connection between these notations
can be defined as m yi = λm xi and σ yi = λσ xi , where
λ = ln(10) / 10 ≈ 0.23026 . The sum of N lognormal ran-
dom variables Li can be represented by the expression
N N
L= Li = eYi ≅ e Z , (1)
i =1 i =1
where terms Yi and Z are Gaussian random variables.
The correlation coefficient of Yi and Yj is defined as
E[(Yi − m yi )(Y j − m y j )]
rij = , (2)
σ yi σ y j
where m and σ refer to the mean and standard deviation
of the indexed random variables.
2.1. Fenton-Wilkinson (FW) approximation
In the Fenton-Wilkinson (FW) approximation [4], the
mean mz and the standard deviation σ z of Z are derived
by matching the first two moments of the both sides of
(1). If the first moment of ( L1 + L2 + ... + LN ) is denoted
by u1, it can be derived to be
 N m yi + σ 2y / 2 mz = m y1 + G1 , (7)
u1 = E[ L] = E[e Z ] = e i . (3)
i =1
σ 2z = σ 2y − G12 − 2σ 2y ( I 2 + I 0 ) + G2 , (8)
By matching the second moment u2, one obtains 1 1

N 2 m yi + 2σ 2y
u 2 = E[ L2 ] = E[e 2 Z ] = e i G1 = E[ln(1 + e w )] = A0 + I1 , (9)
i =1
(4)
N −1 N m yi + m y j
1 2
(σ y + σ 2y + 2rij σ yi σ y j ) G2 = E[ln 2 (1 + e w )] = I 3 + 2 I 4 + σ 2w I 0 + mw A0 , (10)
+2 e e 2 i j
.
i =1 j = i +1
G3 = E[(w − mw )ln(1 + e w )] = σ 2w ( I 2 + I 0 ) , (11)
Mean and standard deviation can be solved from (3) and
(4) to be I 4 = σ 2w [ f w (0) ln 2 − I 5 ] + mw I 6 , (12)
1
mz = 2 ln u1 − ln u2 (5) σw
e − m w / 2σ w + mw I 0 ,
2 2
2 A0 = (13)
2π
σ 2z = ln u 2 − 2 ln u1 . (6)
1
The Fenton-Wilkinson approach is applicable when I i = hi (v)v −1dv , (14)
the standard deviations of the lognormal components are 0
lower than 4 dB for uncorrelated signal components [2].
For higher deviation values, this approximation tends to
1
underestimate the mean and overestimate the variance of exp[−(ln v + mw / σ w ) 2 /2], i = 0,
the sum distribution. When there is correlation between 2π
the identically distributed components, the FW approxi- [ f w (ln v) + f w (− ln v)] ln(1 + v), i = 1,
mation is quite accurate at higher deviation values (up to
[ f w (ln v) − f w (− ln v)](1 + v −1 ) −1 , i = 2,
12 dB), too [4].
2.2. Ho’s Schwartz-Yeh (SY) approximation hi (v) = [ f w (ln v) + f w (− ln v)] ln 2 (1 + v), i = 3, (15)
− f w (− ln v) ln v ln(1 + v), i = 4,
Originally, the Schwartz-Yeh approximation was pub-
lished in [2]. This method is also based on the assump- f w (− ln v)(1 + v −1 ) −1 , i = 5,
tion that the power sum is lognormally distributed. Exact f w (− ln v) ln(1 + v), i = 6,
expressions for the first two moments of the sum of two
lognormal random variables are derived. Nesting and re-
cursion techniques are then used to extend the approach
to a larger number of cumulative random variables.
1 ( w − mw ) 2
Unfortunately, the calculations in the original SY f w ( w) = exp − . (16)
method are complex. They require a lot of computation 2πσ 2w 2σ 2w
capacity before the results converge to the desired accu-
racy in digits. Hence, the modified method presented by 2.3. Monte Carlo simulation
Ho [5], will be used in this paper. The Ho’s SY ap-
proximation circumvents the roundoff errors and compli- In comparison to the approximations, simulations have
cated integration of the original approach by numerical been completed to point out, where the approximations
integration using the trapezoidal rule and appropriate deviate from the actual sum distributions. Simulations
transformations in the integration range. follow the procedure described in [6]. K = 106 samples in
According to the literature the SY approximation can the simulation are generated for each lognormal signal.
be best applied when the range of the standard deviation These samples are collected in the vector
is 4 ≤ σ ≤ 12 dB. If all components in the summation are
identically distributed, this approximation tends to un- a = [a1 a2 ... a N ]T , (17)
derestimate the variance in the resulting signal distribu- where a’s are samples of N uncorrelated Gaussian proc-
tion. The error increases as a function of the number of esses with specific means and standard deviations, and T
added components. denotes the vector transpose operation. Then the vector a
The expressions required for the mean and standard
deviation calculation (sum of two lognormal signals) us- is linearly transformed into vector b = [b1 b2 ... bN ]T by
ing this method are presented in (7)–(16).
 Mean of the sum distribution Standard deviation of the sum distribution
18 12
Ho´s Schwartz−Yeh approximation Ho´s Schwartz−Yeh approximation
Fenton−Wilkinson approximation Fenton−Wilkinson approximation
16 Monte Carlo simulation Monte Carlo simulation
10
14 r =0
ij r = 0.99
r = 0.25 ij
ij r = 0.75
r = 0.5 ij
12 ij 8

Standard deviation [dB]

r = 0.5
r = 0.75 ij
ij rij = 0.25
rij = 0.99
r =0
Mean [dB]

10 ij

6
8

6 4

4
2
2

0 0
1 3 5 7 9 11 13 15 17 19 21 23 1 3 5 7 9 11 13 15 17 19 21 23
Number of summed signals (N)
Number of summed signals (N)

Figure 1. Mean of the sum distribution (Case 1). Figure 2. Standard deviation of the sum distribu-
tion (Case 1).

b = La , (18) Table 1. Statistics for the numerical examples

where the matrix L is a lower triangular matrix that can
be computed from Cholesky decomposition of the corre-
lation matrix R. So
R = E[bbT ] = LLT .
Elements of the correlation matrix are given by
rij for i ≠ j
Rij =
1 for i = j.
In the next phase the Gaussian variables bi are con-
verted to the lognormal samples and summed over N.
Hence, the cumulative (N×K)-sample matrix is of the
form
N
v = ln eb .
i =1
Finally, the mean and standard deviation are ex-
tracted from the results and then converted to dB units.
3. NUMERICAL EXAMPLES
The differences between approximations and simulations
are demonstrated with some numerical examples. They
are divided into three test cases. In all of the cases the
individual lognormal signals are combined from three
clusters of different statistics. The correlation coefficient
between signals in the summation is fixed to five differ-
ent values, i.e., rij = r = {0, 0.25, 0.5, 0.75, 0.99} for all i
j. Table 1 shows the clustered mean and standard de-
viation statistics of the summed lognormal signals in the
test cases.
{mz, σz} [dB]
Case 1 {0, 4}, i = 1, …, 8
{−4, 8}, i = 9, …, 16
{−8, 12}, i = 17, …, 24
(19) Case 2 {−8, 12}, i = 1, …, 8
{−4, 8}, i = 9, …, 16
{0, 4}, i = 17, …, 24
Case 3 {0, 4}, i = 1, 3, 4, 5, 7, 8, 16, 20
(20) {−4, 8}, i = 6, 10, 12, 13, 15, 17, 23, 24
{−8, 12}, i = 2, 9, 11, 14, 18, 19, 21, 22
Figure 1 shows the mean statistics of the approxima-
tions and simulations employing the Case 1 parameters.
For eight first summed variables the means of the sum
distributions agree well. This is quite expected because
the variance of component signals is small. When adding
(21)
more varying components the FW approximation breaks
down, as was previously reported for the uncorrelated
signals. The accuracy of the SY approximation also de-
grades along the number of summed signals. Only the
curve of the uncorrelated signals follows perfectly the
simulated results.
Figure 2 plots the corresponding standard deviation
statistics of the Case 1. Again, we see that the FW ap-
proximation clearly deviates from the simulated results
for N > 8. Each shift into the cluster of different statistics
(9th and 17th component) seems to cause a big jump in
the FW approximation. For the SY approximation this
deviation is less severe, but increases for heavily corre-
lated signals.
Some examples of the Case 1 statistics are shown
also in the form of the probability density (PDF) and
complementary cumulative distribution functions
(CCDF). Figure 3 plots the PDF of the sum distribution
at N = 8 and N = 24 for rij = 0.5. For N = 8 the FW
 1
Probability density functions Mean of the sum distribution
10 18
Ho´s Schwartz−Yeh approximation, N = 8 Ho´s Schwartz−Yeh approximation
Fenton−Wilkinson approximation, N = 8 Fenton−Wilkinson approximation
16
Monte Carlo simulation, N = 8 Monte Carlo simulation
0
10 Ho´s Schwartz−Yeh approximation, N = 24
14
Fenton−Wilkinson approximation, N = 24
Monte Carlo simulation, N = 24
12
Probability density function, PDF

−1
10
r = 0.5 10
ij

−2 8
10

Mean [dB]
6

10
−3 4

2
−4
10 0
r =0
−2 ij
−5
rij = 0.25
10 −4 rij = 0.5
rij = 0.75
−6 r = 0.99
−6 ij
10
−20 −10 0 10 20 30 40 −8
z [dB] 1 3 5 7 9 11 13 15 17 19 21 23
Number of summed signals (N)

Figure 3. Probability density functions (Case 1). Figure 5. Mean of the sum distribution (Case 2).

0
Complementary cumulative distribution functions Standard deviation of the sum distribution
10 14
Ho´s Schwartz−Yeh approximation, N = 8 Ho´s Schwartz−Yeh approximation
Fenton−Wilkinson approximation, N = 8 Fenton−Wilkinson approximation
Monte Carlo simulation, N = 8 Monte Carlo simulation
−1 Ho´s Schwartz−Yeh approximation, N = 24
10 Fenton−Wilkinson approximation, N = 24 12
Monte Carlo simulation, N = 24
Complementary CDF, Pr(z > x)

−2 r = 0.5
10 ij
10
Standard deviation [dB]

−3
10 8

−4
10
6
rij = 0.99
−5
r = 0.75
ij
10 rij = 0.5
4
rij = 0.25
rij = 0
−6
10
0 10 20 30 40 50 60 2
x [dB] 1 3 5 7 9 11 13 15 17 19 21 23
Number of summed signals (N)

Figure 4. Complementary cumulative distribution Figure 6. Standard deviation of the sum distribu-
functions (Case 1). tion (Case 2).
approximation and simulation results overlap. Also, the Shapes of the simulated and FW curves are quite similar
SY approximation is in close agreement with the simula- notwithstanding the offset in magnitude.
tions. The situation is quite different for N = 24. Both Standard deviation statistics of the Case 2 are plotted
approximations deviate drastically from the simulated in Figure 6. It can be noted that for highly correlated sig-
PDF. Furthermore, the FW PDF is very wide due to the nals the SY variance approximation is very sensitive to
high variance. the addition of heterogeneous components into the joint
Tail distributions are important, e.g., in the evaluation signal. In this case the FW approximation is quite accu-
of outage events. Complementary cumulative distribution rate for the heavily correlated signal components. The
functions, corresponding to the PDFs in Figure 3, are variance varies smoothly within a very limited scale.
shown in Figure 4. At CCDF = 10-2, there is nearly a 10 Comparing the statistics in the Case 1 and the Case 2 an
dB difference between the simulated distribution and the interesting observation can be made; behavior of the ap-
distribution given by the FW approximation. proximations is completely different when the initial sig-
Figure 5 displays the mean of the lognormal sum dis- nals are summed in reversed order.
tribution obeying the Case 2 individual signal means and For the Case 3 the mean and standard deviation for
variances. Again, the SY approximation and the simula- each consecutive component signal in the power sum is
tions are in close agreement in the uncorrelated case. For randomly taken from the same set of possible statistics as
the correlated signals the FW approximation is generally in the previous examples. The Case 3 mean statistics are
closer to the simulated points than the SY approximation. shown in Figure 7 and the corresponding standard
 Mean of the sum distribution Standard deviation of the sum distribution
17 12
Ho´s Schwartz−Yeh approximation
Fenton−Wilkinson approximation
15 11
Monte Carlo simulation
13
10
11 rij = 0.99
9 rij = 0.75

Standard deviation [dB]

9 r = 0.5 Ho´s Schwartz−Yeh approximation
ij
8 r = 0.25 Fenton−Wilkinson approximation
7 ij
Monte Carlo simulation
Mean [dB]

r =0
ij
5 7

3 6

1
5
rij = 0
−1
rij = 0.25
4
−3 rij = 0.5
rij = 0.75
rij = 0.99 3
−5

−7 2
1 3 5 7 9 11 13 15 17 19 21 23 1 3 5 7 9 11 13 15 17 19 21 23
Number of summed signals (N) Number of summed signals (N)

Figure 7. Mean of the sum distribution (Case 3).
deviations in Figure 8. The Fenton-Wilkinson approxi-
mation experiences a high bias both for the mean and the
variance for N 2 because of the second signal compo-
nent being so varying (out of the applicability range).
The SY approach follows the simulated points much bet-
ter. However, the simulated means of the correlated sig-
nals tend to converge to lower values. Simulated vari-
ances saturate to the first component’s level when the
correlation is high, irrespective of the number of added
signal components.
4. CONCLUSION
The applicability of The Fenton-Wilkinson and Ho’s
Schwartz-Yeh lognormal approximations was studied
when several heterogeneous correlated signals were
summed up. Monte Carlo simulations were run to have
reference results in the comparison. Based on the test
cases it seems that both approximations fail to model
even the first moments of the sum distribution in many
circumstances. Yet, these approximations have been
proven to be accurate for joint distributions of uncorre-
lated signals or correlated signals with identical means
and variances with some limitations.
ACKNOWLEDGMENTS
The Foundation of Nokia Group is hereby gratefully ac-
knowledged for the financial support of this work as a
part of author’s postgraduate studies.
Figure 8. Standard deviation of the sum distribu-
tion (Case 3).
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