Brief Notes #8

Relationships between Mean and Variance of Normal and Lognormal

Distributions

If X ~ N(m X , σ X 2 ) , then Y = e x ~ LN(m Y , σ Y 2 ) with mean value and variance

given by:

⎧ 1
m X + σ X2
⎪m = e 2
⎨ Y
⎪ 2 2m X + σ X2 σ X2
σ
⎩ Y = e (e − 1)

Conversely, m X and σ X 2 are found from m Y and σ Y 2 as follows:

⎧ 1 2 2
⎪m X = 2 ln(m Y ) − 2 ln( σ Y + m Y )
⎨
⎪σ 2 = −2 ln(m ) + ln( σ 2 + m 2 )
⎩ X Y Y Y