- statsmodels.stats.stattools.expected_robust_kurtosis(ab=(5.0, 50.0), dg=(2.5, 25.0))¶
Calculates the expected value of the robust kurtosis measures in Kim and White assuming the data are normally distributed.
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
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
Contains the expected values of the 4 robust kurtosis measures
See robust_kurtosis for definitions of the robust kurtosis measures