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Recurrence formula on the joint distribution of sample skewness and kurtosis under normality

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  • Shigekazu Nakagawa
  • Hiroki Hashiguchi
  • Naoto Niki

Abstract

Two recurrence relations with respect to sample size are given concerning the joint distribution of skewness and kurtosis of random observations from a normal population: one between the probability density functions and the other between the product moments. As a consequence, the latter yields a recurrence formula for the moments of sample kurtosis. The exact moments of Jarque-Bera statistic is also given.

Suggested Citation

  • Shigekazu Nakagawa & Hiroki Hashiguchi & Naoto Niki, 2016. "Recurrence formula on the joint distribution of sample skewness and kurtosis under normality," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(4), pages 1148-1155, February.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:4:p:1148-1155
    DOI: 10.1080/03610926.2013.859704
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