The Lambert Way to Gaussianize Heavy-Tailed Data with the Inverse of Tukey’s h Transformation as a Special Case

Table 1

Finite sample properties of . For each , was estimated ,000 times from a random sample z Tukey’s . The left column for each shows bias, ; each right column shows the root mean square error (RMSE) times .

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50
100
400
1000
2000
10
50
100
400
1000
2000