Transformation of correlation coefficients between normal and lognormal distribution and implications for nuclear applications

Inherently positive parameters with large relative uncertainties (typically ≳30%) are often considered to be governed by the lognormal distribution. This assumption has the practical benefit of avoiding the possibility of sampling negative values in stochastic applications. Furthermore, it is typically assumed that the correlation coefficients for comparable multivariate normal and lognormal distributions are equivalent. However, this ideal situation is approached only in the linear approximation which happens to be applicable just for small uncertainties. This paper derives and discusses the proper transformation of correlation coefficients between both distributions for the most general case which is applicable for arbitrary uncertainties. It is seen that for lognormal distributions with large relative uncertainties strong anti-correlations (negative correlations) are mathematically forbidden. This is due to the asymmetry that is an inherent feature of these distributions. Some implications of these results for practical nuclear applications are discussed and they are illustrated with examples in this paper. Finally, modifications to the ENDF-6 format used for representing uncertainties in evaluated nuclear data libraries are suggested, as needed to deal with this issue