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- Thread starter SamanthaYellow
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mathman

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mathman

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Simplify writing by assuming means are 0. E((X+Y)²)=E(X²)+2E(XY)+E(Y²). IF X and Y are independent (uncorrelated is enough), E(XY)=E(X)E(Y)=0.

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mathman

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Not necessarily. E((XY)^2)=E(X^2)E(Y^2), so you have variances multiplying, not adding.

- #7

DrDu

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The higher order terms depend not only on the statistics of x but also on the Taylor series. It might be that they all disappear for a Gaussian, as higher order correlation functions can all be expressed in terms of ##E(x^2)##.

You say that your error is lognormal distributed?

So why don't you use error propagation for the logarithmized independent variable , i.e. replacing Var(f(y) by ##Var(f(e^x))##?

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