Lambert W random variables -- a new family of generalized skewed distributions with applications to risk estimation

DOI10.1214/11-AOAS457MaRDI QIDQ652384zbMATH OpenFDO

Authors Georg M. Goerg

Publication date 14 December 2011

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

Full work available at URL https://arxiv.org/abs/0912.4554

zbMATH Keywords

GARCHlatent variablesskewnessvalue at riskfamily of skewed distributionsLambert \(W\)stylized facts of asset returnstransformation of random variables

Mathematics Subject Classification ID

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

Abstract: Originating from a system theory and an input/output point of view, I introduce a new class of generalized distributions. A parametric nonlinear transformation converts a random variable $X$ into a so-called Lambert $W$ random variable $Y$, which allows a very flexible approach to model skewed data. Its shape depends on the shape of $X$ and a skewness parameter $gamma$. In particular, for symmetric $X$ and nonzero $gamma$ the output $Y$ is skewed. Its distribution and density function are particular variants of their input counterparts. Maximum likelihood and method of moments estimators are presented, and simulations show that in the symmetric case additional estimation of $gamma$ does not affect the quality of other parameter estimates. Applications in finance and biomedicine show the relevance of this class of distributions, which is particularly useful for slightly skewed data. A practical by-result of the Lambert $W$ framework: data can be "unskewed." The $R$ package http://cran.r-project.org/web/packages/LambertWLambertW developed by the author is publicly available (http://cran.r-project.orgCRAN).

Recommendations

• Logarithmic Lambert \(W \times \mathcal{F}\) random variables for the family of chi-squared distributions and their applications
• Some Utilizations of LambertWFunction in Distribution Theory
• Skew models. I
• Measurement of skewness and kurtosis for the generalized tukey lambda distributions
• Financial data and the skewed generalized \(t\) distribution

Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 3637090 (Why is no real title available?)
• scientific article; zbMATH DE number 1098821 (Why is no real title available?)
• scientific article; zbMATH DE number 1983901 (Why is no real title available?)
• A Generalized Univariate Change-of-Variable Transformation Technique
• A new class of skew-Cauchy distributions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Modification of the Kolmogorov-Smirnov Statistic for Use with Correlated Data
• On the Lambert \(w\) function
• On the Unification of Families of Skew-normal Distributions
• On the explicit solvability of certain transcendental equations
• Pricing foreign currency options with stochastic volatility
• Statistical Applications of the Multivariate Skew Normal Distribution
• The Lambert \(W\) function and quantum statistics
• The Skew-normal Distribution and Related Multivariate Families*
• The multivariate skew-normal distribution
• The skew-Cauchy distribution
• Using the gh distribution to model extreme wind speeds.

Cited in

(17)

• Effective asymptotics analysis for finance
• An R package for generating covariance matrices for maximum-entropy sampling from precipitation chemistry data
• Discussion
• Logarithmic Lambert \(W \times \mathcal{F}\) random variables for the family of chi-squared distributions and their applications
• Letter to the editor
• Analysis of survival data by a Weibull-generalized Poisson distribution
• Acknowledgment of priority: Usage of the Lambert \(W\) function in statistics
• Mathematical descriptions of indeterminate growth
• LambertW
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• A multivariate skew-normal-Tukey-\(h\) distribution
• Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
• Bayesian modelling of skewness and kurtosis with two-piece scale and shape distributions
• Centre-free kurtosis orderings for asymmetric distributions
• Ordered quantile normalization: a semiparametric transformation built for the cross-validation era
• The fractional-diffusion equation and a new distribution to model positively skewed data with heavy tails
• All the trinomial roots, their powers and logarithms from the Lambert series, Bell polynomials and Fox-Wright function: illustration for genome multiplicity in survival of irradiated cells

Describes a project that uses

Uses Software

• CRAN
• R

This page was built for publication: Lambert \(W\) random variables -- a new family of generalized skewed distributions with applications to risk estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q652384)