TSA (version 0.99)

kurtosis: 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

Value

• The function returns the kurtosis of the data.

Details

Given data $x_1,x_2,\ldots, x_n$, the sample kurtosis is defined by the formula: $$\frac{\sum_{i=1}^n (x_i-\bar{x})^4/n}{(\sum_{i=1}^n (x_i-\bar{x})^2/n)^2}-3.$$

Examples

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