ccgarch (version 0.2.2)

rob.kr: Computing standard and robustified excess kurtosis

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)