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August 17th, 2010, 12:45 PM  #1 
Joined: Aug 2010 Posts: 1 Thanks: 0  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!! 
August 17th, 2010, 01:11 PM  #2 
Global Moderator Joined: May 2007 Posts: 4,234 Thanks: 163  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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