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A New Measure of Kurtosis Adjusted for Skewness

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  • David C. Blest
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    Abstract

    Studies of kurtosis often concentrate on only symmetric distributions. This paper identifies a process through which the standardized measure of kurtosis based on the fourth moment about the mean can be written in terms of two parts: (i) an irreducible component, about L_4, which can be seen to occur naturally in the analysis of fourth moments; (ii) terms that depend only on moments of lower order, in particular including the effects of asymmetry attached to the third moment about the mean. This separation of the effect of skewness allows definition of an improved measure of kurtosis. This paper calculates and discusses examples of the new measure of kurtosis for a range of standard distributions. Copyright 2003 Australian Statistical Publishing Association Inc..

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    Bibliographic Info

    Article provided by Australian Statistical Publishing Association Inc. in its journal Australian & New Zealand Journal of Statistics.

    Volume (Year): 45 (2003)
    Issue (Month): 2 (06)
    Pages: 175-179

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    Handle: RePEc:bla:anzsta:v:45:y:2003:i:2:p:175-179

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    Cited by:
    1. Dragan Đorić & Emilija Nikolić-Đorić & Vesna Jevremović & Jovan Mališić, 2009. "On measuring skewness and kurtosis," Quality & Quantity: International Journal of Methodology, Springer, vol. 43(3), pages 481-493, May.

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