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(measure of the probability of a distribution's tails)

The term kurtosis refers to the degree to which a probability distribution has tails, regions of small probability extending high and/or low from the highest-probability distribution. A widely-used measure (due to Karl Pearson) is the fourth Pearson moment of the distribution. A formula:

           Σ (Yi-m)4
kurtosis = —————————
           Σ (Yi-m)2

This measure of the normal distribution is always 3, so sometimes 3 is subtracted, which is called the excess kurtosis.

Further reading: