An empirical study of the behaviour of the sample kurtosis in samples from symmetric stable distributions

DOI10.37920/SASJ.2020.54.2.9zbMATH Open1488.60022arXiv1811.00476OpenAlexW3197057417MaRDI QIDQ5013103FDOQ5013103

Authors: J. Martin van Zyl, Sean van der Merwe 

Publication date: 26 November 2021

Published in: South African Statistical Journal (Search for Journal in Brave)

Abstract: Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution and is defined when the 4th moment is finite. In this work an empirical study is conducted to investigate the behaviour of the sample estimate of kurtosis with respect to sample size and the tail index when applied to heavy-tailed data where the 4th moment does not exist. The study will focus on samples from the symmetric stable distributions. It was found that the expected value of excess kurtosis divided by the sample size is finite for any value of the tail index and the sample estimate of kurtosis increases as a linear function of sample size and tail index. It is very sensitive to changes in the tail-index.

Full work available at URL: https://arxiv.org/abs/1811.00476

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zbMATH Keywords

kurtosisstable distributionsample sizetail index

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point estimation (62F10)

Cited In (2)

• Kurtosis correction method for X̄ and R control charts for long‐tailed symmetrical distributions
• Distribution of kurtoses, with estimators and tests of homogeneity of kurtosis

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