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Variance

Lognormal distribution variance.

The variance for a lognormal random variable is

$$\mathop{\mathrm{Var}}\left( X \right) = [\exp({\sigma^{2}})-1] \cdot \exp({2\mu +\sigma^{2}})$$

where μ is the location parameter and σ > 0 is the scale parameter. According to the definition, the natural logarithm of a random variable from a lognormal distribution follows a normal distribution.

Installation

npm install @stdlib/stats-base-dists-lognormal-variance

Alternatively,

• To load the package in a website via a script tag without installation and bundlers, use the ES Module available on the esm branch (see README).
• If you are using Deno, visit the deno branch (see README for usage intructions).
• For use in Observable, or in browser/node environments, use the Universal Module Definition (UMD) build available on the umd branch (see README).

The branches.md file summarizes the available branches and displays a diagram illustrating their relationships.

To view installation and usage instructions specific to each branch build, be sure to explicitly navigate to the respective README files on each branch, as linked to above.

Usage

var variance = require( '@stdlib/stats-base-dists-lognormal-variance' );

variance( mu, sigma )

Returns the variance for a lognormal distribution with location mu and scale sigma.

var y = variance( 2.0, 1.0 );
// returns ~255.016

y = variance( 0.0, 1.0 );
// returns ~4.671

y = variance( -1.0, 2.0 );
// returns ~396.04

If provided NaN as any argument, the function returns NaN.

var y = variance( NaN, 1.0 );
// returns NaN

y = variance( 0.0, NaN );
// returns NaN

If provided sigma <= 0, the function returns NaN.

var y = variance( 0.0, 0.0 );
// returns NaN

y = variance( 0.0, -1.0 );
// returns NaN

Examples

var randu = require( '@stdlib/random-base-randu' );
var variance = require( '@stdlib/stats-base-dists-lognormal-variance' );

var sigma;
var mu;
var y;
var i;

for ( i = 0; i < 10; i++ ) {
    mu = ( randu()*10.0 ) - 5.0;
    sigma = randu() * 20.0;
    y = variance( mu, sigma );
    console.log( 'µ: %d, σ: %d, Var(X;µ,σ): %d', mu.toFixed( 4 ), sigma.toFixed( 4 ), y.toFixed( 4 ) );
}

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C APIs

Usage

#include "stdlib/stats/base/dists/lognormal/variance.h"

stdlib_base_dists_lognormal_variance( mu, sigma )

Returns the variance for a lognormal distribution with location mu and scale sigma.

double out = stdlib_base_dists_lognormal_variance( 0.0, 1.0 );
// returns ~4.671

The function accepts the following arguments:

• mu: [in] double location parameter.
• sigma: [in] double scale parameter.

double stdlib_base_dists_lognormal_variance( const double mu, const double sigma );

Examples

#include "stdlib/stats/base/dists/lognormal/variance.h"
#include <stdlib.h>
#include <stdio.h>

static double random_uniform( const double min, const double max ) {
    double v = (double)rand() / ( (double)RAND_MAX + 1.0 );
    return min + ( v*(max-min) );
}

int main( void ) {
    double sigma;
    double mu;
    double y;
    int i;

    for ( i = 0; i < 25; i++ ) {
        mu = random_uniform( 0.0, 10.0 ) - 5.0;
        sigma = random_uniform( 0.0, 20.0 );
        y = stdlib_base_dists_lognormal_variance( mu, sigma );
        printf( "µ: %lf, σ: %lf, Var(X;µ,σ): %lf\n", mu, sigma, y );
    }
}

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Notice

This package is part of stdlib, a standard library for JavaScript and Node.js, with an emphasis on numerical and scientific computing. The library provides a collection of robust, high performance libraries for mathematics, statistics, streams, utilities, and more.

For more information on the project, filing bug reports and feature requests, and guidance on how to develop stdlib, see the main project repository.

Community

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License

See LICENSE.

Copyright

Copyright © 2016-2024. The Stdlib Authors.