LambertW swMATH ID: 6066 Software Authors: Georg M. Goerg Description: LambertW: Analyze and Gaussianize skewed, heavy-tailed data , The Lambert W framework is a new generalized way to analyze skewed, heavy-tailed data. Lambert W random variables (RV) are based on an input/output framework where the input is a RV X with distribution F(x), and the output Y = func(X) has similar properties as X (but slightly skewed or heavy-tailed). Then this transformed RV Y has a Lambert W x F distribution - for details see References. This package contains functions to perform a Lambert W analysis of skewed and heavy-tailed data: data can be simulated, parameters can be estimated from real world data, quantiles can be computed, and results plotted/printed in a ’nice’ way. Probably the most important function is ’Gaussianize’, which works the same way as the R function ’scale’ but actually makes your data Gaussian. An optional modular toolkit implementation allows users to define their own Lambert W x ’my favorite distribution’ and use it for their analysis. Homepage: http://cran.r-project.org/web/packages/LambertW/ Source Code: https://github.com/cran/LambertW Dependencies: R; moments, gsl, MASS, nortest, maxLik Keywords: family of skewed distributions; skewness; transformation of random variables; Lambert \(W\); latent variables; stylized facts of asset returns; value at risk; GARCH Related Software: R; DLMF; CRAN; EnvStats; EnviroStat; MVN; MESgenCov; rfPermute; relaimpo; COUNT; pscl; MASS (R); LAMBERTW; wrightOmegaq; LambertW; LambertW; Algorithm 443; lamW; GitHub; Algorithm 917 Cited in: 12 Publications Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Lambert \(W\) random variables – a new family of generalized skewed distributions with applications to risk estimation. Zbl 1228.62016Goerg, Georg M. 2011 all top 5 Cited by 25 Authors 3 Lemonte, Artur José 2 Goerg, Georg M. 1 Al-Thani, Hessa 1 Batsidis, Apostolos 1 Belkić, Dževad 1 Bureau, Dominique P. 1 Cammarota, Camillo 1 Cancho, Vicente Garibay 1 Castellares, Fredy 1 Duby, Tomy 1 Dumas, André 1 France, James 1 Hermann, Philipp 1 Hook, Sarah E. 1 Jiménez-Gamero, María Dolores 1 Lopez, Secundino 1 Moreno-Arenas, Germán 1 Pinto, Alessandro 1 Powell, Christopher D. 1 Rubio, Francisco Javier 1 Steel, Mark F. J. 1 Stehlík, Milan 1 Wimmer, Gejza 1 Witkovský, Viktor 1 Zavaleta, Katherine E. C. all top 5 Cited in 9 Serials 3 The Annals of Applied Statistics 2 Journal of Applied Statistics 1 Metrika 1 Statistics & Probability Letters 1 Journal of Statistical Computation and Simulation 1 Journal of Mathematical Chemistry 1 Electronic Journal of Statistics 1 Journal of Theoretical Biology 1 SN Operations Research Forum Cited in 5 Fields 10 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 2 Biology and other natural sciences (92-XX) 1 Numerical analysis (65-XX) 1 Operations research, mathematical programming (90-XX) Citations by Year