kurtosis {TSA}

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

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.

Value

The function returns the kurtosis of the data.

Author(s)

Kung-Sik Chan

Examples

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