[证券从业考试] 真诚请教FRM handbook第六版关于一道Kurtosis的问题 [推广有奖]

11楼

johnluo721 发表于 2011-2-14 20:05:50

10# lanxyn
第二版应该是错的，你从kurtosis的公式可以推出来，如果越大的，就是data 相对meanl来说分布得比较分散。书有时候也会是错的，

12楼

lanxyn 发表于 2011-2-15 01:38:00

normal dsitribution的峰度是3, excess kurtosis =0;
如果, excess kurtosis >0. 从图形上肯定是高于normal distribution的.

至于说相对与Mean, data要散些, 我认为这说明了leptokurtic的时候是胖尾.

wiki 上有相同的内容(Kurtosis):

A distribution with positive excess kurtosis is called leptokurtic, or leptokurtotic. "Lepto-" means "slender"[1]. In terms of shape, a leptokurtic distribution has a more acute peak around the mean (that is, a lower probability than a normally distributed variable of values near the mean) and fatter tails (that is, a higher probability than a normally distributed variable of extreme values). Examples of leptokurtic distributions include the Cauchy distribution, Student's t-distribution, Rayleigh distribution, Laplace distribution, exponential distribution, Poisson distribution and the logistic distribution. Such distributions are sometimes termed super Gaussian.

我还是倾向于FRM handbook错了.!

11# johnluo721

13楼

johnluo721 发表于 2011-2-16 11:50:53

好了吧，我现在也糊涂了，你满意了吧
我也在internet找到相同的reference 了，好像是高峰胖尾
A distribution with kurtosis <3 (excess kurtosis <0) is called platykurtic. Compared to a normal distribution, its central peak is lower and broader, and its tails are shorter and thinner.
A distribution with kurtosis >3 (excess kurtosis >0) is called leptokurtic. Compared to a normal distribution, its central peak is higher and sharper, and its tails are longer and fatter.
handbook 上面应该是图画错了吧