Re: Approximate a Lognormal by sum of Gaussian

In article <32124213.1169507947458.JavaMail.jakarta@xxxxxxxxxxxxxxxxxxxxxx>,
Jack Tomsky <jtomsky@xxxxxxxxxxxxx> wrote:
My friend told me that I can approximate a lognormal
distribution
(acutally any function) by a sum of several Gaussian
functions. I tried
to google the detail, but returned so many unrelated
links. I want to
know how to find out the parameters for the Gaussian
functions and the
error term. If you happen to know good references or
some keywords,
please leave a message. Thank you.




The sum of several Gaussians is itself a Gaussian. Therefore, you need only a single Gaussian. What your friend probably meant was that the log of a lognormal is a Gaussian. That Gaussian could then be decomposed into several Gaussians if that is of interest.

The question is not approximating a lognormal random variable
by a sum of normal random variable, but a lognormal distribution
by a sum (rather, linear combination) of normal distributions.

AFAIK, there is no good way of doing this.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Department of Statistics, Purdue University
hrubin@xxxxxxxxxxxxxxx Phone: (765)494-6054 FAX: (765)494-0558
.

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