Corpus ID: 88520860

Rebuttal of the 'Letter to the Editor' of Annals of Applied Statistics on Lambert W x F Distributions and the IGMM Algorithm

@article{Goerg2016RebuttalOT,
  title={Rebuttal of the 'Letter to the Editor' of Annals of Applied Statistics on Lambert W x F Distributions and the IGMM Algorithm},
  author={Georg M. Goerg},
  journal={arXiv: Methodology},
  year={2016}
}
  • Georg M. Goerg
  • Published 2016
  • Mathematics
  • arXiv: Methodology
  • I discuss comments and claims made in Stehlik and Hermann (2015) about skewed Lambert W x F random variables and the IGMM algorithm. I clarify misunderstandings about the definition and use of Lambert W x F distributions and show that most of their empirical results cannot be reproduced. I also introduce a variant of location-scale Lambert W x F distributions that are well-defined for random variables X ~ F with non-finite mean and variance. 

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