Some measures of kurtosis and their inference on large datasets

Claudio Giovanni Borroni () and Lucio De Capitani ()
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Claudio Giovanni Borroni: University of Milano-Bicocca
Lucio De Capitani: University of Milano-Bicocca

AStA Advances in Statistical Analysis, 2022, vol. 106, issue 4, No 3, 573-607

Abstract: Abstract This paper deals with the estimation of kurtosis on large datasets. It aims at overcoming two frequent limitations in applications: first, Pearson's standardized fourth moment is computed as a unique measure of kurtosis; second, the fact that data might be just samples is neglected, so that the opportunity of using suitable inferential tools, like standard errors and confidence intervals, is discarded. In the paper, some recent indexes of kurtosis are reviewed as alternatives to Pearson’s standardized fourth moment. The asymptotic distribution of their natural estimators is derived, and it is used as a tool to evaluate efficiency and to build confidence intervals. A simulation study is also conducted to provide practical indications about the choice of a suitable index. As a conclusion, researchers are warned against the use of classical Pearson’s index when the sample size is too low and/or the distribution is skewed and/or heavy-tailed. Specifically, the occurrence of heavy tails can deprive Pearson’s index of any meaning or produce unreliable confidence intervals. However, such limitations can be overcome by reverting to the reviewed alternative indexes, relying just on low-order moments.

Keywords: Pearson’s $$\beta _2$$ β 2; Asymptotic distributions; Coverage; Heavy-tailedness; Skewness (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s10182-022-00442-y

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