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lognormal distribution : ウィキペディア英語版
lognormal distribution
\ e^}
| cdf = \frac12 + \frac12\,\mathrm\Big(probability theory, a log-normal (or lognormal) distribution is a continuous probability distribution of a random variable whose logarithm is normally distributed. Thus, if the random variable X is log-normally distributed, then Y = \ln(X) has a normal distribution. Likewise, if Y has a normal distribution, then X = \exp(Y) has a log-normal distribution. A random variable which is log-normally distributed takes only positive real values. The distribution is occasionally referred to as the Galton distribution or Galton's distribution, after Francis Galton.〔 The log-normal distribution also has been associated with other names, such as McAlister, Gibrat and Cobb–Douglas.〔
A log-normal process is the statistical realization of the multiplicative product of many independent random variables, each of which is positive. This is justified by considering the central limit theorem in the log domain. The log-normal distribution is the maximum entropy probability distribution for a random variate X for which the mean and variance of \ln(X) are specified.
==Notation==
Given a log-normally distributed random variable X and two parameters \mu and \sigma that are, respectively, the mean and standard deviation of the variable’s natural logarithm, then the logarithm of X is normally distributed, and we can write X as
: X=e^
with Z a standard normal variable.
This relationship is true regardless of the base of the logarithmic or exponential function. If \log_a(Y) is normally distributed, then so is \log_b(Y), for any two positive numbers a,b\neq 1. Likewise, if e^X is log-normally distributed, then so is a^, where a is a positive number \neq 1.
On a logarithmic scale, \mu and \sigma can be called the ''location parameter'' and the ''scale parameter'', respectively.
In contrast, the mean, standard deviation, and variance of the non-logarithmized sample values are respectively denoted m, ''s.d.'', and v in this article. The two sets of parameters can be related as (see also Arithmetic moments below)〔("Lognormal mean and variance" )〕
:
\mu=\ln\left(\frac}}\right), \sigma=\sqrt\right)}
.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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