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Approximation to Distribution of Product of Random Variables Using Orthogonal Polynomials for Lognormal Density (1203.3288v2)
Published 15 Mar 2012 in cs.IT and math.IT
Abstract: We derive a closed-form expression for the orthogonal polynomials associated with the general lognormal density. The result can be utilized to construct easily computable approximations for probability density function of a product of random variables, when the considered variates are either independent or correlated. As an example, we have calculated the approximative distribution for the product of Nakagami-m variables. Simulations indicate that accuracy of the proposed approximation is good with small cross-correlations under light fading condition.