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The Lambert Way to Gaussianize Heavy-Tailed Data with the Inverse of Tukey's h Transformation as a Special Case

I present a parametric, bijective transformation to generate heavy tail versions of arbitrary random variables. The tail behavior of this heavy tail Lambert  W × F (X) random variable depends on a tail parameter δ ≥ 0: for δ = 0, Y ≡ X, for δ > 0 Y has heavier tails than X. For X being Gaussian i...

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Detalles Bibliográficos
Autor principal: Goerg, Georg M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi Publishing Corporation 2015
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4562338/
https://www.ncbi.nlm.nih.gov/pubmed/26380372
http://dx.doi.org/10.1155/2015/909231