LambertW

swMATH6066CRANLambertWMaRDI QIDQ18204FDOQ18204

Probabilistic Models to Analyze and Gaussianize Heavy-Tailed, Skewed Data

Georg M. Goerg

Last update: 30 November 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.6.7-1, 0.1.0, 0.1.6, 0.1.8, 0.1.9, 0.2.5, 0.2.6, 0.2.9.5, 0.2.9.9.5, 0.2.9.9, 0.2.9, 0.5.1, 0.5, 0.6.0, 0.6.2, 0.6.4, 0.6.5, 0.6.6, 0.6.7, 0.6.8, 0.6.9, 0.6.9-1

Source code repository: https://github.com/cran/LambertW

Description

Lambert W x F distributions are a generalized framework to analyze skewed, heavy-tailed data. It is based on an input/output system, where the output random variable (RV) Y is a non-linearly transformed version of an input RV X ~ F with similar properties as X, but slightly skewed (heavy-tailed). The transformed RV Y has a Lambert W x F distribution. This package contains functions to model and analyze skewed, heavy-tailed data the Lambert Way: simulate random samples, estimate parameters, compute quantiles, and plot/ print results nicely. The most useful function is 'Gaussianize', which works similarly to 'scale', but actually makes the data Gaussian. A do-it-yourself toolkit allows users to define their own Lambert W x 'MyFavoriteDistribution' and use it in their analysis right away.

Described by source

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

Cited In (17)

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