Acknowledgment of priority: Usage of the Lambert W function in statistics

DOI10.1214/14-AOAS790MaRDI QIDQ2258604zbMATH OpenFDO

Authors Georg M. Goerg

Publication date 26 February 2015

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.01308, https://projecteuclid.org/euclid.aoas/1419001755

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory of statistical distributions (62E10) Point estimation (62F10) Estimation in survival analysis and censored data (62N02)

Abstract: In my 2011 Annals of Applied Statistics article [Goerg (2011)] I wrote that "Whereas the Lambert $W$ function plays an important role in mathematics, physics, chemistry, biology and other fields, it has not yet been used in statistics." This was incorrect. At the time of publication I was unaware of Stehl'{i}k (2003), who used the Lambert $W$ function to derive the exact distribution of the likelihood ratio test statistic. He has also used it in more recent work such as Stehl'{i}k (2006), Stehl'{i}k et al. (2010), or Stehl'{i}k (2014) amongst others. While Stehl'{i}k's use of the Lambert $W$ function was focused on the distribution of the likelihood ratio test statistic, my work dealt with the modeling of skewed random variables and symmetrizing data using the Lambert $W$ function as a variable transformation.

Recommendations

• Euler, Lambert, and the Lambert \(W\)-function today
• Some Utilizations of LambertWFunction in Distribution Theory
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Cites work

• Distributions of exact tests in the exponential family
• Exact likelihood ratio scale and homogeneity testing of some loss processes
• Lambert W random variables -- a new family of generalized skewed distributions with applications to risk estimation
• On the favorable estimation for fitting heavy tailed data

Cited in

(2)

• Acknowledgement of priority.
• Some Utilizations of LambertWFunction in Distribution Theory

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Uses Software

• LambertW

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