rob_kr: Computing standard and robustified excess kurtosis

In hoanguc3m/ccgarch: Conditional Correlation GARCH models

Description

This function computes standard and robustified excess kurtosis of a vector or matrix of variables.

Usage

    rob.kr(x)

Arguments

x	vector or matrix of variables

Value

Vector of excess kurtosis and robustified excess kurtosis

References

Kim, T-H. and H. White (2004), “On More Robust Estimation of Skewness and Kurtosis”, Finance Research Letters, 1, 56–73.

See Also

rob.sk, ljung.box.test, jb.test

Examples

x <- matrix(rnorm(1000), 100, 10)
rob.kr(x)

hoanguc3m/ccgarch documentation built on May 29, 2019, 11:05 p.m.