Kurtosis (from Greek: κυρτός (kyrtos or kurtos), meaning 'curved, arching') refers to the degree of tailedness in the probability distribution of a real-valued, random variable in probability theory and statistics. Similar to skewness, kurtosis provides insight into specific characteristics of a distribution. Various methods exist for quantifying kurtosis in theoretical distributions, and corresponding techniques allow estimation based on sample data from a population. Different measures of kurtosis can yield varying interpretations. The standard measure of a distribution's kurtosis, originating with Karl Pearson, is a scaled version of the fourth moment of the distribution. This number is related to the tails of the distribution, not its peak; 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. Excess kurtosis, typically compared to a value of 0, characterizes the tailedness of a distribution. A univariate normal distribution has an excess kurtosis of 0. Negative excess kurtosis indicates a platykurtic distribution, which does not necessarily have a flat top but produces fewer or less extreme outliers than the normal distribution. For instance, the uniform distribution (i.e., one that is uniformly finite over some bound and zero elsewhere) is platykurtic. On the other hand, positive excess kurtosis signifies a leptokurtic distribution. The Laplace distribution for example, has tails that decay more slowly than a normal one, resulting in more outliers. To simplify comparison with the normal distribution, excess kurtosis is calculated as Pearson's kurtosis minus 3. Some authors and software packages use kurtosis to refer specifically to excess kurtosis, but this article distinguishes between the two for clarity. 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. These are analogous to the alternative measures of skewness that are not based on ordinary moments.
Pearson moments The kurtosis is the fourth standardized moment, defined as
Kurt [ X ] := μ ~ 4 ≡ μ 4 σ 4 = E [ ( X − μ σ ) 4 ] = E [ ( X − μ ) 4 ] ( E [ ( X − μ ) 2 ] ) 2 {\displaystyle {\begin{aligned}\operatorname {Kurt} [X]&:={\tilde {\mu }}_{4}\equiv {\frac {\mu _{4}}{\sigma ^{4}}}\\&=\operatorname {E} \left[{\left({\frac {X-\mu }{\sigma }}\right)}^{4}\right]={\frac {\operatorname {E} \left[(X-\mu )^{4}\right]}{\left(\operatorname {E} \left[(X-\mu )^{2}\right]\right)^{2}}}\\\end{aligned}}}
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. Pearson is systematically using β2. The kurtosis is bounded below by the squared skewness plus 1:
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