[R] about comparison of KURTOSIS in package: moments and fBasics

Spencer Graves spencer.graves at pdf.com
Fri Dec 9 05:20:50 CET 2005

	  There are doubtless tests for kurtosos by itself, though I'm not 
familiar with any.  When I'm conderned about kurtosis (which is often), 
I routinely make normal probability plots of observations and residuals 
from model fits.  If I see roughly a straight line, I conclude that I 
won't likely be too misled by assuming normality.  If I see a smooth "S" 
shape with long tails, I would be inclined to try to fit a Student's t 
model.  If I see relatively sharp breaks, that's the fingerprint of a 

	  For mixture distributions, I like Titterington, Smith, and Makov 
(1986) Statistical Analysis of Finite Mixture Distributions (Wiley). 
There are more recent books available, but I haven't seen a better 
discussion of normal plots of mixtures.  There are R packages for 
estimating mixtures of various kinds.  To find them, I suggest you try 
"RSiteSearch" with a variety of different key phrases.  For Student's t 
models, I suggest you try "fitdistr" in library(MASS) or "RSiteSearch" 
(or Google).

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do read the posting guide! "www.R-project.org/posting-guide.html". 
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	  hope this helps.
	  spencer graves
Baize, Harold wrote:

> Thanks to Spencer Graves for providing links to explain
> the various types of kurtosis reported by R packages. 
> Spencer Graves>>(http://mathworld.wolfram.com/k-Statistic.html).
> Spencer also said:
> SG>>	  However, these are little used, as the estimates are known to be so 
> SG>> highly variable.  It is generally preferred to transform to normality or 
> SG>> to use some other distribution and then use maximum likelihood.
> This advice is good if your interest is comparing models, but what 
> if variation in kurtosis itself is your interest? I am wondering if 
> someone could provide some direction for answering questions about 
> differences between samples in kurtosis. There are tests of 
> significance for means and variance. How would one test hypotheses 
> of difference in kurtosis between samples? 
> Thanks in advance. 
> Harold Baize
> Youth Services Evaluator
> Butte County Department of Behavioral Health
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Spencer Graves, PhD
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