kurtosis: Kurtosis

In TSA: Time Series Analysis

Kurtosis

Description

Computes the Kurtosis.

Usage

kurtosis(x, na.rm = FALSE)

Arguments

x	data
na.rm	logical variable, if true, missing values are excluded from analysis

Details

Given data x_1,x_2,…, x_n, the sample kurtosis is defined by the formula:

\frac{∑_{i=1}^n (x_i-\bar{x})^4/n}{(∑_{i=1}^n (x_i-\bar{x})^2/n)^2}-3.

Value

The function returns the kurtosis of the data.

Author(s)

Kung-Sik Chan

Examples

data(CREF)
r.cref=diff(log(CREF))*100
kurtosis(r.cref)

TSA documentation built on July 5, 2022, 5:05 p.m.