Statistics - Kurtosis (Distribution Tail extremity)

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1 - About

kurtosis is seen as measure of the “peakedness” of a distribution but it seems that it is not.

Kurtosis tells you virtually nothing about the shape of the peak - 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). See Kurtosis as Peakedness, 1905 – 2014. R.I.P., Peter H. WESTFALL

Distributions with negative or positive excess kurtosis are called:

  • platykurtic distributions
  • or leptokurtic distributions

respectively.


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