statsmodels.stats.stattools.expected_robust_kurtosis¶
-
statsmodels.stats.stattools.
expected_robust_kurtosis
(ab=(5.0, 50.0), dg=(2.5, 25.0))[source]¶ Calculates the expected value of the robust kurtosis measures in Kim and White assuming the data are normally distributed.
- Parameters
- abiterable,
optional
Contains 100*(alpha, beta) in the kr3 measure where alpha is the tail quantile cut-off for measuring the extreme tail and beta is the central quantile cutoff for the standardization of the measure
- dbiterable,
optional
Contains 100*(delta, gamma) in the kr4 measure where delta is the tail quantile for measuring extreme values and gamma is the central quantile used in the the standardization of the measure
- abiterable,
- Returns
- ekr
array
, 4-element Contains the expected values of the 4 robust kurtosis measures
- ekr
Notes
See robust_kurtosis for definitions of the robust kurtosis measures