Logarithmic Lambert W F random variables for the family of chi-squared distributions and their applications

DOI10.1016/J.SPL.2014.09.028zbMATH Open1308.60021arXiv1406.0345OpenAlexW2241310579MaRDI QIDQ2339554FDOQ2339554

Viktor Witkovský, Gejza Wimmer, Tomy Duby

Publication date: 1 April 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: We introduce a class of logarithmic Lambert W random variables for a specific family of distributions. In particular, we characterize the log-Lambert W random variables for chi-squared distributions which naturally appear in the likelihood based inference of normal random variables.

Full work available at URL: https://arxiv.org/abs/1406.0345

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zbMATH Keywords

exact likelihood ratio testlikelihood based inferencelogarithmic Lambert \(W\) random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Parametric tolerance and confidence regions (62F25) Parametric inference under constraints (62F30)

Cites Work

• Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Computing the distribution of quadratic forms in normal variables
• Note on the inversion theorem
• On the exact computation of the density and of the quantiles of linear combinations of \(t\) and \(F\) random variables
• On the Lambert \(w\) function
• Invariant quadratic unbiased estimation for two variance components
• Kullback-Leibler life time testing
• Distributions of exact tests in the exponential family
• Optimal Confidence Intervals for the Variance of a Normal Distribution
• Title not available (Why is that?)
• Likelihood ratio test for simultaneous testing of the mean and the variance of a normal distribution

Cited In (3)

• Computing the exact distribution of a linear combination of generalized logistic random variables and its applications
• Some Utilizations of LambertWFunction in Distribution Theory
• Computing the exact distribution of the Bartlett's test statistic by numerical inversion of its characteristic function

Uses Software

• LambertW
• AS 155

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