Improving the performance of kurtosis estimator


In this communication, sample measures of kurtosis adapted by various software packages are compared for data from normal and non-normal populations. Further, two improved estimators of population kurtosis are proposed and their performance is compared with the currently used measures. The suggested estimators have considerably lower mean squared error (MSE) for various sampling designs in our simulation study. Two empirical examples are given to illustrate the usefulness of suggested estimators in practice. © 2007 Elsevier B.V. All rights reserved.

DOI: 10.1016/j.csda.2007.09.024

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@article{An2008ImprovingTP, title={Improving the performance of kurtosis estimator}, author={Lihua An and S. Ejaz Ahmed}, journal={Computational Statistics & Data Analysis}, year={2008}, volume={52}, pages={2669-2681} }