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In another question here at Cross Validated, one user asked for the correlation of log-normal random variables.

Here's the link for the question: Correlation of log-normal random variables

The accepted answer presents an equation for the correlation between log-normal random variables Y1 e Y2 as final answer.

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I'd like to find/know if there's a reference for this equation, either in an article or in a book. I have been searching for it in books and articles in my field (Operational Hydrology) but I haven't been able to find it so far.

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Jxson99
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1 Answers1

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You can find it in Johnson and Kotz (1972) p20. [1]

an alternative reference (that refers to Johnson & Kotz) is Lai, Rayner & Hutchinson (1999) [2]

[1] Johnson, N. L. and Kotz, S. (1972).
Distributions in Statistics: Continuous Multivariate Distributions.
New York, Wiley.

[2] Lai, C.D., J.C.W. Rayner, and T.P. Hutchinson, (1999),
"Robustness of the sample correlation the bivariate lognormal case,"
Journal of Applied Mathematics & Decision Sciences, 3(1), 7-19

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