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August 17th, 2010, 12:45 PM   #1
 
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Distribution of exp(normal)

Hi everyone!! i have a question.

Suppose X distributes Normal(mu,sigma2)

What is the distribution of: exp(X)?


Thanks in advance!!
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August 17th, 2010, 01:11 PM   #2
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Re: Distribution of exp(normal)

Let U=exp(X), so X=ln(U). P(U<u)=P(ln(U)<ln(u))=f(ln(u)), where f(x) is the probability distribution function for N(mu,sigma2).
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