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Topic: Formula for Correlation Between Two Lognormal Variables
Replies: 10   Last Post: Jun 8, 2012 10:04 AM

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Gordon Sande

Posts: 116
Registered: 5/13/10
Re: Formula for Correlation Between Two Lognormal Variables
Posted: Jun 8, 2012 9:15 AM
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On 2012-06-08 06:18:31 -0300, aste said:

> Could somebody please post a link with the formulas and proofs? Even
> when I use your exact keywords, my google results do not contain the
> papers you are referring to.



<http://www.stuart.iit.edu/shared/shared_stuartfaculty/whitepapers/thomopoulos_some.pdf>



<http://stats.stackexchange.com/questions/6853/correlation-of-log-normal-random-variables>

which includes a citation of above paper



Note that Google treats the search for "xxx yyy" (with the quotes) differently
than just xxx yyy (without the quotes). A search for "lognormal correlation"
(with quotes) was not very useful. Normally one tries several minor variations
on the search as the exact search algorithm seems to be a carefully guarded
secret that changes over time although the basic features are publicly
documented.
There is an arms race between the search algorithm revisers and the folks who
game it for commercial gain as high rankings help sales for many things.

When quoted the string is expected to be matched as is while the unquoted
version just finds the words in any order and at any spacing with the first
being most important etc.

If you had a very large exhaustive statistical textbook the index under
"formulae" will not usually be helpful for your question. Even the index
for "correlation" is not going to be that helpful. But the index for
"lognormal" is a good bet and you will be in good hands if there is a subindex
entry for "correlation". Think of Google as an index and not as an artificial
intelligence assistant. Google does not play Jeopardy even though the recent
success of Watson from IBM Labs has gotten a fair bit of publicity.






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