[R] about comparison of KURTOSIS in package: moments and fBasics

[P Ehlers]

(Haven't seen an anwer to this yet; maybe I missed it.)

klebyn wrote:

> 
> 
> Hello
> 
> 
> 
> I do not know very much about statistics (and English language too :-( ),
> then I come in search of a clarification (explanation):
> 
> I found two distinct results on KURTOSIS and
> I do not know which of them is the correct one.
> Any aid will be welcome!
> 
> 
> klebyn

The code will show you why you get different results.

fBasics:
  kurtosis = sum((x - mean(x))^4/var(x)^2)/length(x) - 3

moments:
  n <- length(x)
  n * sum((x - mean(x))^4)/(sum((x - mean(x))^2)^2)

So pkg:moments uses the ratio of 4th sample moment to
square of second sample moment, while pkg:fBasics uses the
variance instead of the second moment and subtracts 3
(for reasons to do with the Normal distribution).


Peter Ehlers

> 
> 
> 
> ################  CODE
> 
> rnorm(1000) -> x
> 
> library(moments)
> 
> kurtosis(x)
> skewness(x)
> 
> detach("package:moments")
> library(fBasics)
> 
> kurtosis(x)
> skewness(x)
> 
> detach("package:fBasics")
> 
> R.version
> 
> ################  OUTPUT
> 
>  >
>  > rnorm(1000) -> x
>  >
>  >
>  > library(moments)
>  >
>  >
>  > kurtosis(x)
> [1] 3.145274
>  > skewness(x)
> [1] 0.04898635
>  >
>  >
>  > detach("package:moments")
>  > library(fBasics)
> 
> Rmetrics, (C) 1999-2005, Diethelm Wuertz, GPL
> fBasics: Markets, Basic Statistics, Hypothesis Testing
>  >
>  >
>  > kurtosis(x)
> [1] 0.1389865
>  > skewness(x)
> [1] 0.04891289
>  >
>  >
>  > detach("package:fBasics")
>  >
>  > R.version
>          _              
> platform i386-pc-mingw32
> arch     i386           
> os       mingw32        
> system   i386, mingw32  
> status                  
> major    2              
> minor    2.0            
> year     2005           
> month    10             
> day      06             
> svn rev  35749          
> language R              
>  >
>  >
> 
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