LambertW: Probabilistic Models to Analyze and Gaussianize Heavy









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LambertW: Probabilistic Models to Analyze and Gaussianize Heavy

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:.
LambertW





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213340 LambertW: Probabilistic Models to Analyze and Gaussianize Heavy

Package 'LambertW"

October 12, 2022

TypePackage

TitleProbabilistic Models to Analyze and Gaussianize Heavy-Tailed,

Skewed Data

Version0.6.7-1

URLhttps://github.com/gmgeorg/LambertW

https://arxiv.org/abs/0912.4554 https://arxiv.org/abs/1010.2265 https://arxiv.org/abs/1602.02200 BugReportshttps://github.com/gmgeorg/LambertW/issues DescriptionLambert 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.

DependsMASS, ggplot2,

ImportslamW (>= 1.3.0), stats, graphics, grDevices, RColorBrewer, reshape2, Rcpp (>= 1.0.4), methods Suggestsboot, Rsolnp, nortest, numDeriv, testthat, data.table, moments, knitr, markdown, vars,

LicenseGPL (>= 2)

LazyLoadyes

NeedsCompilationyes

RepositoryCRAN

LinkingToRcpp, lamW

RoxygenNote7.2.1

1

2Rtopics documented:

EncodingUTF-8

VignetteBuilderknitr

AuthorGeorg M. Goerg [aut, cre]

MaintainerGeorg M. Goerg

Date/Publication2022-09-22 09:40:02 UTC

Rtopics documented:

LambertW-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 analyze_convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 beta-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 bootstrap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 common-arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 datasets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 delta_01 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 delta_GMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 delta_Taylor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 deprecated-functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 distname-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 gamma_01 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 gamma_GMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 gamma_Taylor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 Gaussianize . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 get_gamma_bounds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
get_input . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
get_output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
get_support . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
G_delta_alpha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
H_gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
IGMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
ks_test_t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
kurtosis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
LambertW-toolkit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
LambertW-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
LambertW_fit-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
LambertW_input_output-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
loglik-LambertW-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
lp_norm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
medcouple_estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
MLE_LambertW . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
p_m1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
tau-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
test_normality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
test_symmetry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
theta-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
U-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

LambertW-package3

W . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
W_delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
W_gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
xexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Index67LambertW-packageR package for Lambert WF distributionsDescription This package is based on notation, definitions, and results of Goerg (2011, 2015, 2016). I will not include these references in the description of each single function. Lambert WF distributions are a general framework to model and transform skewed, heavy-tailed data. Lambert WF random variables (RV) are based on an input/ouput system with input RVX F X(xj)and outputY, which is a non-linearly transformed version of X - with similar properties to X, but slightly skewed and/or heavy-tailed. Then Y has a "Lambert WFX" distribution - see

References.

get_distnameslists all implemented Lambert WF distributions in this package. If you want to generate a skewed/heavy-tailed version of a distribution that is not implemented, you can use the do-it-yourself modular toolkit (create_LambertW_inputandcreate_LambertW_output). It allows users to quickly implement their own Lambert W x "MyFavoriteDistribution" and use it in their analysis right away. This package contains several functions to analyze skewed and heavy-tailed data: simulate random samples(rLambertW),evaluatepdfandcdf(dLambertWandpLambertW),estimateparameters(IGMM andMLE_LambertW),computequantiles(qLambertW),andplot/printresultsnicely(plot.LambertW_fit, print.LambertW_fit,summary.LambertW_fit).

Package 'LambertW"

October 12, 2022

TypePackage

TitleProbabilistic Models to Analyze and Gaussianize Heavy-Tailed,

Skewed Data

Version0.6.7-1

URLhttps://github.com/gmgeorg/LambertW

https://arxiv.org/abs/0912.4554 https://arxiv.org/abs/1010.2265 https://arxiv.org/abs/1602.02200 BugReportshttps://github.com/gmgeorg/LambertW/issues DescriptionLambert 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.

DependsMASS, ggplot2,

ImportslamW (>= 1.3.0), stats, graphics, grDevices, RColorBrewer, reshape2, Rcpp (>= 1.0.4), methods Suggestsboot, Rsolnp, nortest, numDeriv, testthat, data.table, moments, knitr, markdown, vars,

LicenseGPL (>= 2)

LazyLoadyes

NeedsCompilationyes

RepositoryCRAN

LinkingToRcpp, lamW

RoxygenNote7.2.1

1

2Rtopics documented:

EncodingUTF-8

VignetteBuilderknitr

AuthorGeorg M. Goerg [aut, cre]

MaintainerGeorg M. Goerg

Date/Publication2022-09-22 09:40:02 UTC

Rtopics documented:

LambertW-package . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 analyze_convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 beta-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6 bootstrap . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 common-arguments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 datasets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 delta_01 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 delta_GMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 delta_Taylor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 deprecated-functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 distname-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 gamma_01 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 gamma_GMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 gamma_Taylor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 Gaussianize . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 get_gamma_bounds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
get_input . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
get_output . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
get_support . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
G_delta_alpha . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
H_gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
IGMM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
ks_test_t . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
kurtosis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
LambertW-toolkit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32
LambertW-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
LambertW_fit-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
LambertW_input_output-methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
loglik-LambertW-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43
lp_norm . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
medcouple_estimator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
MLE_LambertW . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
p_m1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51
tau-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
test_normality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54
test_symmetry . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
theta-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
U-utils . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

LambertW-package3

W . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
W_delta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
W_gamma . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
xexp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66
Index67LambertW-packageR package for Lambert WF distributionsDescription This package is based on notation, definitions, and results of Goerg (2011, 2015, 2016). I will not include these references in the description of each single function. Lambert WF distributions are a general framework to model and transform skewed, heavy-tailed data. Lambert WF random variables (RV) are based on an input/ouput system with input RVX F X(xj)and outputY, which is a non-linearly transformed version of X - with similar properties to X, but slightly skewed and/or heavy-tailed. Then Y has a "Lambert WFX" distribution - see

References.

get_distnameslists all implemented Lambert WF distributions in this package. If you want to generate a skewed/heavy-tailed version of a distribution that is not implemented, you can use the do-it-yourself modular toolkit (create_LambertW_inputandcreate_LambertW_output). It allows users to quickly implement their own Lambert W x "MyFavoriteDistribution" and use it in their analysis right away. This package contains several functions to analyze skewed and heavy-tailed data: simulate random samples(rLambertW),evaluatepdfandcdf(dLambertWandpLambertW),estimateparameters(IGMM andMLE_LambertW),computequantiles(qLambertW),andplot/printresultsnicely(plot.LambertW_fit, print.LambertW_fit,summary.LambertW_fit).
  1. log transformation for right skewed data