The Scientific World Journal / 2015 / Article / Tab 2

Research Article

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

Table 2

In each subtable: (first rows) average, (middle rows) proportion of estimates below truth, and (bottom rows) empirical standard deviation times . True and .
(a) Truly Gaussian data:

Median Gaussian MLE IGMM Lambert MLE NA
Ratio




(b) No fourth moments:

Median Gaussian MLE IGMM Lambert MLE NA
Ratio



NANA
NANA

(c) Non-existing mean:

Median Gaussian MLE IGMM Lambert MLE NA
Ratio

50
100
1000

50
100
1000

50NANA
100NANA
1000NANA

(d) Extreme heavy tails:

Median Gaussian MLE IGMM Lambert MLE NA
Ratio

50
100
1000

50
100
1000

50NANA
100NANA
1000NANA

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