Kurtosis

In probability theory and statistics, kurtosis (from Greek: κυρτός, kyrtos or kurtos, meaning "curved,
arching") is a measure of the "tailedness" of the probability distribution of a real-valued random variable.
Like skewness, kurtosis describes a particular aspect of a probability distribution. There are different ways
to quantify kurtosis for a theoretical distribution, and there are corresponding ways of estimating it using a
sample from a population. Different measures of kurtosis may have different interpretations.

The standard measure of a distribution's kurtosis, originating with Karl Pearson,[1] is a scaled version of the
fourth moment of the distribution. This number is related to the tails of the distribution, not its peak;[2]
hence, the sometimes-seen characterization of kurtosis as "peakedness" is incorrect. For this measure,
higher kurtosis corresponds to greater extremity of deviations (or outliers), and not the configuration of data
near the mean.

It is common to compare the excess kurtosis (defined below) of a distribution to 0, which is the excess
kurtosis of any univariate normal distribution. Distributions with negative excess kurtosis are said to be
platykurtic, although this does not imply the distribution is "flat-topped" as is sometimes stated. Rather, it
means the distribution produces fewer and/or less extreme outliers than the normal distribution. An example
of a platykurtic distribution is the uniform distribution, which does not produce outliers. Distributions with a
positive excess kurtosis are said to be leptokurtic. An example of a leptokurtic distribution is the Laplace
distribution, which has tails that asymptotically approach zero more slowly than a Gaussian, and therefore
produces more outliers than the normal distribution. It is common practice to use excess kurtosis, which is
defined as Pearson's kurtosis minus 3, to provide a simple comparison to the normal distribution. Some
authors and software packages use "kurtosis" by itself to refer to the excess kurtosis. For clarity and
generality, however, this article explicitly indicates where non-excess kurtosis is meant.

Alternative measures of kurtosis are: the L-kurtosis, which is a scaled version of the fourth L-moment;
measures based on four population or sample quantiles.[3] These are analogous to the alternative measures
of skewness that are not based on ordinary moments.[3]

Pearson moments
The kurtosis is the fourth standardized moment, defined as

where μ4 is the fourth central moment and σ is the standard deviation. Several letters are used in the
literature to denote the kurtosis. A very common choice is κ, which is fine as long as it is clear that it does
not refer to a cumulant. Other choices include γ2 , to be similar to the notation for skewness, although
sometimes this is instead reserved for the excess kurtosis.

The kurtosis is bounded below by the squared skewness plus 1:[4]: 4 32 
where μ3 is the third central moment. The lower bound is realized by the Bernoulli distribution. There is no
upper limit to the kurtosis of a general probability distribution, and it may be infinite.

A reason why some authors favor the excess kurtosis is that cumulants are extensive. Formulas related to
the extensive property are more naturally expressed in terms of the excess kurtosis. For example, let X1 , ...,
Xn be independent random variables for which the fourth moment exists, and let Y be the random variable
defined by the sum of the Xi. The excess kurtosis of Y is

where is the standard deviation of . In particular if all of the Xi have the same variance, then this
simplifies to

The reason not to subtract 3 is that the bare fourth moment better generalizes to multivariate distributions,
especially when independence is not assumed. The cokurtosis between pairs of variables is an order four
tensor. For a bivariate normal distribution, the cokurtosis tensor has off-diagonal terms that are neither 0 nor
3 in general, so attempting to "correct" for an excess becomes confusing. It is true, however, that the joint
cumulants of degree greater than two for any multivariate normal distribution are zero.

For two random variables, X and Y, not necessarily independent, the kurtosis of the sum, X + Y, is

Note that the fourth-power binomial coefficients (1, 4, 6, 4, 1) appear in the above equation.

Interpretation

The exact interpretation of the Pearson measure of kurtosis (or excess kurtosis) used to be disputed, but is
now settled. As Westfall notes in 2014[2], "...its only unambiguous interpretation is in terms of tail
extremity; i.e., either existing outliers (for the sample kurtosis) or propensity to produce outliers (for the
kurtosis of a probability distribution)." The logic is simple: Kurtosis is the average (or expected value) of
the standardized data raised to the fourth power. Standardized values that are less than 1 (i.e., data within
one standard deviation of the mean, where the "peak" would be) contribute virtually nothing to kurtosis,
since raising a number that is less than 1 to the fourth power makes it closer to zero. The only data values
(observed or observable) that contribute to kurtosis in any meaningful way are those outside the region of
the peak; i.e., the outliers. Therefore, kurtosis measures outliers only; it measures nothing about the "peak".

Many incorrect interpretations of kurtosis that involve notions of peakedness have been given. One is that
kurtosis measures both the "peakedness" of the distribution and the heaviness of its tail.[5] Various other
incorrect interpretations have been suggested, such as "lack of shoulders" (where the "shoulder" is defined
vaguely as the area between the peak and the tail, or more specifically as the area about one standard
deviation from the mean) or "bimodality".[6] Balanda and MacGillivray assert that the standard definition of
kurtosis "is a poor measure of the kurtosis, peakedness, or tail weight of a distribution"[5]: 1 14  and instead
propose to "define kurtosis vaguely as the location- and scale-free movement of probability mass from the
shoulders of a distribution into its center and tails".[5]

Moors' interpretation

In 1986 Moors gave an interpretation of kurtosis.[7] Let

where X is a random variable, μ is the mean and σ is the standard deviation.

Now by definition of the kurtosis , and by the well-known identity

The kurtosis can now be seen as a measure of the dispersion of Z2 around its expectation. Alternatively it
can be seen to be a measure of the dispersion of Z around +1 and  −1. κ attains its minimal value in a
symmetric two-point distribution. In terms of the original variable X, the kurtosis is a measure of the
dispersion of X around the two values μ ± σ.

High values of κ arise in two circumstances:

where the probability mass is concentrated around the mean and the data-generating
process produces occasional values far from the mean,
where the probability mass is concentrated in the tails of the distribution.

Excess kurtosis
The excess kurtosis is defined as kurtosis minus 3. There are 3 distinct regimes as described below.

Mesokurtic

Distributions with zero excess kurtosis are called mesokurtic, or mesokurtotic. The most prominent
example of a mesokurtic distribution is the normal distribution family, regardless of the values of its
parameters. A few other well-known distributions can be mesokurtic, depending on parameter values: for
example, the binomial distribution is mesokurtic for .

Leptokurtic
A distribution with positive excess kurtosis is called leptokurtic, or leptokurtotic. "Lepto-" means
"slender".[8] In terms of shape, a leptokurtic distribution has fatter tails. Examples of leptokurtic
distributions include the Student's t-distribution, Rayleigh distribution, Laplace distribution, exponential
distribution, Poisson distribution and the logistic distribution. Such distributions are sometimes termed
super-Gaussian.[9]

Platykurtic

A distribution with negative excess kurtosis is called platykurtic, or

platykurtotic. "Platy-" means "broad".[10] In terms of shape, a
platykurtic distribution has thinner tails. Examples of platykurtic
distributions include the continuous and discrete uniform
distributions, and the raised cosine distribution. The most
platykurtic distribution of all is the Bernoulli distribution with p =
The coin toss is the most platykurtic
1/2 (for example the number of times one obtains "heads" when
distribution
flipping a coin once, a coin toss), for which the excess kurtosis is
−2.

Graphical examples

The Pearson type VII family

The effects of kurtosis are illustrated using a parametric

family of distributions whose kurtosis can be adjusted
while their lower-order moments and cumulants remain
constant. Consider the Pearson type VII family, which
is a special case of the Pearson type IV family
restricted to symmetric densities. The probability
density function is given by

pdf for the Pearson type VII distribution with

excess kurtosis of infinity (red); 2 (blue); and 0
(black)

where a is a scale parameter and m is a shape parameter.

All densities in this family are symmetric. The kth moment exists provided m > (k + 1)/2. For the kurtosis to
exist, we require m  >  5/2. Then the mean and skewness exist and are both identically zero. Setting
a2  = 2m − 3 makes the variance equal to unity. Then the only free parameter is m, which controls the fourth
moment (and cumulant) and hence the kurtosis. One can reparameterize with , where
is the excess kurtosis as defined above. This yields a one-parameter leptokurtic family with zero mean, unit
variance, zero skewness, and arbitrary non-negative excess kurtosis. The reparameterized density is
 log-pdf for the Pearson type VII distribution with
excess kurtosis of infinity (red); 2 (blue); 1, 1/2,
1/4, 1/8, and 1/16 (gray); and 0 (black)

In the limit as one obtains the density

which is shown as the red curve in the images on the right.

In the other direction as one obtains the standard normal density as the limiting distribution, shown
as the black curve.

In the images on the right, the blue curve represents the density with excess kurtosis of 2. The
top image shows that leptokurtic densities in this family have a higher peak than the mesokurtic normal
density, although this conclusion is only valid for this select family of distributions. The comparatively fatter
tails of the leptokurtic densities are illustrated in the second image, which plots the natural logarithm of the
Pearson type VII densities: the black curve is the logarithm of the standard normal density, which is a
parabola. One can see that the normal density allocates little probability mass to the regions far from the
mean ("has thin tails"), compared with the blue curve of the leptokurtic Pearson type VII density with
excess kurtosis of 2. Between the blue curve and the black are other Pearson type VII densities with γ2  = 1,
1/2, 1/4, 1/8, and 1/16. The red curve again shows the upper limit of the Pearson type VII family, with
(which, strictly speaking, means that the fourth moment does not exist). The red curve decreases
the slowest as one moves outward from the origin ("has fat tails").

Other well-known distributions

Several well-known, unimodal, and symmetric distributions from different parametric families are
compared here. Each has a mean and skewness of zero. The parameters have been chosen to result in a
variance equal to 1 in each case. The images on the right show curves for the following seven densities, on
a linear scale and logarithmic scale:
 D: Laplace distribution, also known as the
double exponential distribution, red curve
(two straight lines in the log-scale plot),
excess kurtosis = 3
S: hyperbolic secant distribution, orange
curve, excess kurtosis = 2
L: logistic distribution, green curve, excess
kurtosis = 1.2
N: normal distribution, black curve (inverted
parabola in the log-scale plot), excess
kurtosis = 0
C: raised cosine distribution, cyan curve,
excess kurtosis = −0.593762... Probability density functions for selected
W: Wigner semicircle distribution, blue curve, distributions with mean 0, variance 1 and different
excess kurtosis = −1 excess kurtosis
U: uniform distribution, magenta curve
(shown for clarity as a rectangle in both
images), excess kurtosis = −1.2.

Note that in these cases the platykurtic densities have

bounded support, whereas the densities with positive
or zero excess kurtosis are supported on the whole real
line.

One cannot infer that high or low kurtosis distributions

have the characteristics indicated by these examples.
There exist platykurtic densities with infinite support,

e.g., exponential power distributions with

sufficiently large shape parameter b Logarithms of probability density functions for
selected distributions with mean 0, variance 1 and
and there exist leptokurtic densities with finite support. different excess kurtosis

e.g., a distribution that is uniform between −3

and −0.3, between −0.3 and 0.3, and between 0.3 and 3, with the same density in the (−3,
−0.3) and (0.3, 3) intervals, but with 20 times more density in the (−0.3, 0.3) interval

Also, there exist platykurtic densities with infinite peakedness,

e.g., an equal mixture of the beta distribution with parameters 0.5 and 1 with its reflection
about 0.0

and there exist leptokurtic densities that appear flat-topped,

e.g., a mixture of distribution that is uniform between -1 and 1 with a T(4.0000001) Student's
t-distribution, with mixing probabilities 0.999 and 0.001.
Sample kurtosis

Definitions

A natural but biased estimator

For a sample of n values, a method of moments estimator of the population excess kurtosis can be defined
as

where m4 is the fourth sample moment about the mean, m2 is the second sample moment about the mean
(that is, the sample variance), xi is the ith value, and is the sample mean.

This formula has the simpler representation,

where the values are the standardized data values using the standard deviation defined using n rather
than n − 1 in the denominator.

For example, suppose the data values are 0, 3, 4, 1, 2, 3, 0, 2, 1, 3, 2, 0, 2, 2, 3, 2, 5, 2, 3, 999.

Then the values are −0.239, −0.225, −0.221, −0.234, −0.230, −0.225, −0.239, −0.230, −0.234, −0.225,
−0.230, −0.239, −0.230, −0.230, −0.225, −0.230, −0.216, −0.230, −0.225, 4.359

and the values are 0.003, 0.003, 0.002, 0.003, 0.003, 0.003, 0.003, 0.003, 0.003, 0.003, 0.003, 0.003,
0.003, 0.003, 0.003, 0.003, 0.002, 0.003, 0.003, 360.976.

The average of these values is 18.05 and the excess kurtosis is thus 18.05 − 3 = 15.05. This example makes
it clear that data near the "middle" or "peak" of the distribution do not contribute to the kurtosis statistic,
hence kurtosis does not measure "peakedness". It is simply a measure of the outlier, 999 in this example.

Standard unbiased estimator

Given a sub-set of samples from a population, the sample excess kurtosis above is a biased estimator of
the population excess kurtosis. An alternative estimator of the population excess kurtosis, which is unbiased
in random samples of a normal distribution, is defined as follows:[3]
where k4 is the unique symmetric unbiased estimator of the fourth cumulant, k2 is the unbiased estimate of
the second cumulant (identical to the unbiased estimate of the sample variance), m4 is the fourth sample
moment about the mean, m2 is the second sample moment about the mean, xi is the ith value, and is the
sample mean. This adjusted Fisher–Pearson standardized moment coefficient is the version found in
[11]
Excel and several statistical packages including Minitab, SAS, and SPSS.

Unfortunately, in nonnormal samples is itself generally biased.

Upper bound

An upper bound for the sample kurtosis of n (n > 2) real numbers is[12]

where is the corresponding sample skewness.

Variance under normality

The variance of the sample kurtosis of a sample of size n from the normal distribution is[13]
Stated differently, under the assumption that the underlying random variable is normally distributed, it
can be shown that .[14]: Page number needed 

Applications
The sample kurtosis is a useful measure of whether there is a problem with outliers in a data set. Larger
kurtosis indicates a more serious outlier problem, and may lead the researcher to choose alternative
statistical methods.

D'Agostino's K-squared test is a goodness-of-fit normality test based on a combination of the sample
skewness and sample kurtosis, as is the Jarque–Bera test for normality.

For non-normal samples, the variance of the sample variance depends on the kurtosis; for details, please see
variance.

Pearson's definition of kurtosis is used as an indicator of intermittency in turbulence.[15] It is also used in

magnetic resonance imaging to quantify non-Gaussian diffusion.[16]

A concrete example is the following lemma by He, Zhang, and Zhang:[17] Assume a random variable
has expectation , variance and kurtosis . Assume

we sample many independent copies. Then

This shows that with many samples, we will see one that is above the expectation with
probability at least . In other words: If the kurtosis is large, we might see a lot values either all below
or above the mean.

Kurtosis convergence

Applying band-pass filters to digital images, kurtosis values tend to be uniform, independent of the range of
the filter. This behavior, termed kurtosis convergence, can be used to detect image splicing in forensic
analysis.[18]

Other measures
A different measure of "kurtosis" is provided by using L-moments instead of the ordinary moments.[19][20]

See also
Kurtosis risk
Maximum entropy probability distribution

References
1. Pearson, Karl (1905), "Das Fehlergesetz und seine Verallgemeinerungen durch Fechner
 und Pearson. A Rejoinder" [The Error Law and its Generalizations by Fechner and Pearson.
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1093%2Fbiomet%2F4.1-2.169), JSTOR 2331536 (https://www.jstor.org/stable/2331536)
2. Westfall, Peter H. (2014), "Kurtosis as Peakedness, 1905 - 2014. R.I.P.", The American
Statistician, 68 (3): 191–195, doi:10.1080/00031305.2014.917055 (https://doi.org/10.1080%
2F00031305.2014.917055), PMC 4321753 (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC
4321753), PMID 25678714 (https://pubmed.ncbi.nlm.nih.gov/25678714)
3. Joanes, Derrick N.; Gill, Christine A. (1998), "Comparing measures of sample skewness and
kurtosis", Journal of the Royal Statistical Society, Series D, 47 (1): 183–189,
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JSTOR 2988433 (https://www.jstor.org/stable/2988433)
4. Pearson, Karl (1916), "Mathematical Contributions to the Theory of Evolution. — XIX.
Second Supplement to a Memoir on Skew Variation.", Philosophical Transactions of the
Royal Society of London A, 216 (546): 429–457, Bibcode:1916RSPTA.216..429P (https://ui.
adsabs.harvard.edu/abs/1916RSPTA.216..429P), doi:10.1098/rsta.1916.0009 (https://doi.or
g/10.1098%2Frsta.1916.0009), JSTOR 91092 (https://www.jstor.org/stable/91092)
5. Balanda, Kevin P.; MacGillivray, Helen L. (1988), "Kurtosis: A Critical Review", The
American Statistician, 42 (2): 111–119, doi:10.2307/2684482 (https://doi.org/10.2307%2F26
84482), JSTOR 2684482 (https://www.jstor.org/stable/2684482)
6. Darlington, Richard B. (1970), "Is Kurtosis Really 'Peakedness'?", The American
Statistician, 24 (2): 19–22, doi:10.1080/00031305.1970.10478885 (https://doi.org/10.1080%
2F00031305.1970.10478885), JSTOR 2681925 (https://www.jstor.org/stable/2681925)
7. Moors, J. J. A. (1986), "The meaning of kurtosis: Darlington reexamined", The American
Statistician, 40 (4): 283–284, doi:10.1080/00031305.1986.10475415 (https://doi.org/10.108
0%2F00031305.1986.10475415), JSTOR 2684603 (https://www.jstor.org/stable/2684603)
8. "Lepto-" (http://medical-dictionary.thefreedictionary.com/lepto-).
9. Benveniste, Albert; Goursat, Maurice; Ruget, Gabriel (1980), "Robust identification of a
nonminimum phase system: Blind adjustment of a linear equalizer in data communications",
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tps://doi.org/10.1109%2Ftac.1980.1102343)
10. "platy-: definition, usage and pronunciation - YourDictionary.com" (https://web.archive.org/w
eb/20071020202653/http://www.yourdictionary.com/platy-prefix). Archived from the original
(http://www.yourdictionary.com/platy-prefix) on 2007-10-20.
11. Doane DP, Seward LE (2011) J Stat Educ 19 (2)
12. Sharma, Rajesh; Bhandari, Rajeev K. (2015), "Skewness, kurtosis and Newton's inequality"
(http://projecteuclid.org/euclid.rmjm/1453817258), Rocky Mountain Journal of Mathematics,
45 (5): 1639–1643, doi:10.1216/RMJ-2015-45-5-1639 (https://doi.org/10.1216%2FRMJ-2015
-45-5-1639), S2CID 88513237 (https://api.semanticscholar.org/CorpusID:88513237)
13. Fisher, Ronald A. (1930), "The Moments of the Distribution for Normal Samples of Measures
of Departure from Normality", Proceedings of the Royal Society A, 130 (812): 16–28,
Bibcode:1930RSPSA.130...16F (https://ui.adsabs.harvard.edu/abs/1930RSPSA.130...16F),
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15. Sandborn, Virgil A. (1959), "Measurements of Intermittency of Turbulent Motion in a
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16. Jensen, J.; Helpern, J.; Ramani, A.; Lu, H.; Kaczynski, K. (19 May 2005). "Diffusional
kurtosis imaging: The quantification of non‐Gaussian water diffusion by means of magnetic
resonance imaging" (https://onlinelibrary.wiley.com/doi/full/10.1002/mrm.20508). Magn
Reson Med. 53 (6): 1432–1440. doi:10.1002/mrm.20508 (https://doi.org/10.1002%2Fmrm.20
508). PMID 15906300 (https://pubmed.ncbi.nlm.nih.gov/15906300). S2CID 11865594 (http
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17. He, S.; Zhang, J.; Zhang, S. (2010). "Bounding probability of small deviation: A fourth
moment approach" (https://semanticscholar.org/paper/6e47a78872fbc48e8112d3a9a1a384
7a368e0668). Mathematics of Operations Research. 35 (1): 208–232.
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18. Pan, Xunyu; Zhang, Xing; Lyu, Siwei (2012), "Exposing Image Splicing with Inconsistent
Local Noise Variances", 2012 IEEE International Conference on Computational
Photography (ICCP), 28-29 April 2012; Seattle, WA, USA: IEEE,
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Further reading
Kim, Tae-Hwan; White, Halbert (2003). "On More Robust Estimation of Skewness and
Kurtosis: Simulation and Application to the S&P500 Index" (http://escholarship.org/uc/item/7
b52v07p). Finance Research Letters. 1: 56–70. doi:10.1016/S1544-6123(03)00003-5 (http
s://doi.org/10.1016%2FS1544-6123%2803%2900003-5). S2CID 16913409 (https://api.sema
nticscholar.org/CorpusID:16913409). Alternative source (https://web.archive.org/web/201111
18123903/http://weber.ucsd.edu/~hwhite/pub_files/hwcv-092.pdf) (Comparison of kurtosis
estimators)
Seier, E.; Bonett, D.G. (2003). "Two families of kurtosis measures". Metrika. 58: 59–70.
doi:10.1007/s001840200223 (https://doi.org/10.1007%2Fs001840200223).
S2CID 115990880 (https://api.semanticscholar.org/CorpusID:115990880).

External links
"Excess coefficient" (https://www.encyclopediaofmath.org/index.php?title=Excess_coefficien
t), Encyclopedia of Mathematics, EMS Press, 2001 [1994]
Kurtosis calculator (http://www.fxsolver.com/solve/share/RMqwaVp85T_5rbacksPD4g==/)
Free Online Software (Calculator) (https://archive.today/20121208231710/http://www.wessa.
net/skewkurt.wasp) computes various types of skewness and kurtosis statistics for any
dataset (includes small and large sample tests)..
 Kurtosis (http://jeff560.tripod.com/k.html) on the Earliest known uses of some of the words of
mathematics (http://jeff560.tripod.com/mathword.html)
Celebrating 100 years of Kurtosis (https://faculty.etsu.edu/seier/doc/Kurtosis100years.doc) a
history of the topic, with different measures of kurtosis.

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