Approximation to Distribution of Product of Random Variables Using Orthogonal Polynomials for Lognormal Density

Details Approximation to Distribution of Product of Random Variables Using Orthogonal Polynomials for Lognormal Density Approximation to Distribution of Product of Random Variables Using Orthogonal Polynomials for Lognormal Density

2012-03-15

arxiv.org/abs/1203.3288v1

Computer Science

Information Theory

submitted to IEEE Communications Letter

Scientific paper

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. As an example, we have calculated the approximative distribution for the product of correlated Nakagami-m variables. Simulations indicate that accuracy of the proposed approximation is good.

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