Random.NextLogNormal Method

RandomNextLogNormal Method

Generate a pseudorandom number from a lognormal distribution.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public virtual double NextLogNormal(
	double mean,
	double stdev
)

Public Overridable Function NextLogNormal ( 
	mean As Double,
	stdev As Double
) As Double

public:
virtual double NextLogNormal(
	double mean, 
	double stdev
)

abstract NextLogNormal : 
        mean : float * 
        stdev : float -> float 
override NextLogNormal : 
        mean : float * 
        stdev : float -> float

Parameters

mean: Type: SystemDouble
A double which specifies the mean of the underlying normal distribution.
stdev: Type: SystemDouble
A double which specifies the standard deviation of the underlying normal distribution. It must be positive.

Return Value

Type: Double
A double which specifies a pseudorandom number from a lognormal distribution.

Remarks

Method NextLogNormal generates pseudorandom numbers from a lognormal distribution with parameters mean and stdev. The scale parameter in the underlying normal distribution, stdev, must be positive. The method is to generate normal deviates with mean mean and standard deviation stdev and then to exponentiate the normal deviates.

With $\mu = mean$ and $\sigma = stdev$ , the probability density function for the lognormal distribution is

$f\left( x \right) = \frac{1}{{\sigma x\sqrt {2\pi } }}\exp \left[ { - \frac{1}{{2\sigma ^2 }}\left( {\ln x - \mu } \right)^2 } \right]\,\,for\,x > 0$

The mean and variance of the lognormal distribution are $\rm exp(\mu + \sigma2/2)$ and $\rm exp(2\mu+ 2\sigma2) - \rm exp(2\mu+ \sigma2)$ , respectively.

Reference

Random Class

Imsl.Stat Namespace

Other Resources

Example