LambertW (0.2.9.9)

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Analyze and Gaussianize skewed, heavy-tailed data.

http://www.stat.cmu.edu/~gmg http://arxiv.org/abs/0912.4554 http://arxiv.org/abs/1010.2265
http://cran.r-project.org/web/packages/LambertW

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.

Maintainer: Georg M. Goerg
Author(s): Georg M. Goerg <gmg@stat.cmu.edu>

License: GPL (>= 2)

Uses: gsl, MASS, maxLik, moments, nortest
Reverse depends: SpatialVx

Released over 1 year ago.

7 previous versions

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