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 × FX 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 it reduces t...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2015-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2015/909231 |
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