lognormal distribution

CFA Level I
#1

X and Y are two distributions such that X=lnY.

1)Which of these is a lognormal distribution?

  1. If Y is lognormal and X = ln Y, the two parameters of the distribution of Y are the mean and variance (or standard deviation) of X. What is X i.e. log of lognormal??

How is the mean of normal related to mean of lognormal…similarily std devn also?

#2

Probably neither.

However, _ if _ X is normally distributed, then Y is lognormally distributed (and vice versa).

If Y is lognormally distributed then ln(Y) is normally distributed.

Look here if you feel you must, but I’d recommend not looking; you don’t need to know how they’re related.

#3

^thanks. But it is weird that log of normal is not lognormal…

#4

Well, they had two choices:

  • log of normal is lognormal
  • log of lognormal is normal

They chose the latter. Maybe it was a bad choice, but it was made without consulting you or me. We’re stuck with it.

#5

Okay. I’ll live with it.