An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distribu...
An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions
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St. Louis: Federal Reserve Bank of St. Louis
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English
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St. Louis: Federal Reserve Bank of St. Louis
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Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution and is defined when the 4th moment is finite. In this work an empirical study is conducted to investigate the behaviour of the sample estimate of kurtosis with respect to sample size and the tail index when applied to heavy-tailed data where the 4...
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An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions
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TN_cdi_proquest_journals_2189114593
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2189114593
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https://www.proquest.com/docview/2189114593?pq-origsite=primo&accountid=13902
