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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Hindawi Publishing Corporation
2015
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| 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 |