Approximating the sum of lognormal random variables

Two uncorrelated random variables

  # generate nSample values of two lognormal random variables
  mu1 = log(110)
  mu2 = log(100)
  sigma1 = 0.25
  sigma2 = 0.15
  (coefSum <- estimateSumLognormal( c(mu1,mu2), c(sigma1,sigma2) ))
##        mu     sigma 
## 5.3576474 0.1499077

A check by random numbers shows close correspondence.

plot of chunk unnamed-chunk-2

For a test on correlated variables see unit test test/thatthat/test_sumLognormal.