Kurtosis

(redirected from Leptokurtic distribution)
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Related to Leptokurtic distribution: Mesokurtic, skewness, Excess kurtosis

Kurtosis

Measures the fatness of the tails of a probability distribution. A fat-tailed distribution has higher-than-normal chances of a big positive or negative realization. Kurtosis should not be confused with skewness, which measures the fatness of one tail. Kurtosis is sometimes referred to as the volatility of volatility.
References in periodicals archive ?
Only three items of the conflict dimension had a positive asymmetry (one of them with a leptokurtic distribution) and one item of the closeness dimension had a negative asymmetry and a leptokurtic distribution.
The coefficients of skewness and kurtosis are close to zero for all variables, which can be justified by the normality test of Anderson-Darling indicating that the distributions of variable data were normal, except for the harvested material flow that showed a positive coefficient of skewness, and positive coefficient of kurtosis indicating leptokurtic distribution.
In fact, the leptokurtic distribution of these variables is ubiquitous (Mishkin, 2009; Orlowski, 2010b).
Removing cannibalism from the model creates far more leptokurtic distributions without passing through the bimodal phase.
This is an intriguing property which contradicts the conventional assertion that an asset with a leptokurtic distribution of returns is riskier than an asset with a normal distribution of returns, due to the increased probability of returns associated with the tails of the distribution.
Thus, the estimated values of a must be equal across the sums, provided that the underlying leptokurtic distribution is stable.
These facts are: i) prices follow a random walk process, ii) returns exhibit a leptokurtic distribution with fat tails, iii) as the time scale over which returns are calculated is increased, their distribution tends to "look like" a normal one (Aggregational Gaussianity), and iv) returns presents volatility clustering.
Such an inverse relationship can give the impression of a leptokurtic distribution of pollen dispersal distances.