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kurtosis
(redirected from Excess kurtosis)

   Also found in: Dictionary/thesaurus, Financial, Encyclopedia, Wikipedia 0.01 sec.
kurtosis
[kerto′sis]
the degree of peakedness or flatness of a probability distribution relative to the normal distribution with the same variance.

kurtosis [ker-to´sis]
the degree of peakedness or flatness of a probability distribution, relative to the normal distribution with the same variance. See illustration.
Kurtosis. From Dorland's, 2000.

kurtosis
the quality of peakedness in a unimodal distribution. Abnormalities are leptokurtosis where values are clustered about the mean and the tails of the curve, and platykurtosis where the clustering produces a plateau-shaped curve.


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Second, the significant statistical property of excess kurtosis provides a cautionary note.
The first generator produces normally distributed random numbers, and the second generates Student's t-distributed random numbers with excess kurtosis.
In sum, the BVMT and TUNINDEX weekly and daily returns tend to be characterized by positive skewness, excess kurtosis and departure from normality.
 
 
 
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