KURTOSIS — Excess kurtosis

Syntax

KURTOSIS(series)
KURTOSIS(seriesList)

Inputs and results

A single series returns one number. A series list returns a one-column matrix, with one excess-kurtosis statistic per series in list order.

Example

x = LOGDIFF(SERIES_SINCE(INDPRO,20010101))
KURTOSIS(x)

Notes and interpretation

The existing series and list operations calculate excess kurtosis, whose normal-distribution reference is zero, rather than Pearson kurtosis with a reference of three. Extreme observations can have a large effect. This command preserves the existing estimator and its handling of small samples or constant data.