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

DOI10.1214/11-AOAS457zbMATH Open1228.62016arXiv0912.4554MaRDI QIDQ652384FDOQ652384

Authors: Georg M. Goerg 

Publication date: 14 December 2011

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

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).

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

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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)

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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
• A multivariate skew-normal-Tukey-\(h\) distribution
• Non-Gaussian autoregressive processes with Tukey \(g\)-and-\(h\) transformations
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
• LambertW
• 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

Uses Software

• R
• CRAN

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