This is the github repo for the LambertW R package hosted on CRAN. For any changes after the official version, see the commit history and here.
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.
See https://github.com/gmgeorg/pylambertw for the Python equivalent of the LambertW package.
See cross-validated / stackoverflow for a variety of LambertW posts on how to normalize/Gaussianize data and model skewed/heavy-tailed distributions.
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.