LambertW R package

This is the github repo for the LambertW R package hosted on CRAN.

Current version on CRAN is 0.6.6 updated on December 13, 2020 – reflected in repo here. See commit history for any changes after the 0.6.6 update.

Installation & usage

To install LambertW run

install.packages("LambertW")
citation("LambertW")

See ?LambertW for examples on how to use the LambertW package.

There is also an R vignette on CRAN with a brief tutorial on the main functionalities.

Tutorials & posts

See cross-validated / stackoverflow for a variety of LambertW posts on how to normalize/Gaussianize data and model skewed/heavy-tailed distributions.

References

Georg M. Goerg (2011): Lambert W random variables - a new family of generalized skewed distributions with applications to risk estimation. Annals of Applied Statistics 3(5). 2197-2230.

Georg M. Goerg (2014): The Lambert Way to Gaussianize heavy-tailed data with the inverse of Tukey’s h transformation as a special case. The Scientific World Journal.