rob.kr {ccgarch} | R Documentation |
This function computes standard and robustified excess kurtosis of a vector or a matrix of variables.
rob.kr(x)
x |
vector or matrix of variables |
Vector of excess kurtosis and robustified excess kurtosis
Kim, T-H. and H. White (2004), “On More Robust Estimation of Skewness and Kurtosis”, Finance Research Letters, 1, 56-73.
rob.sk
,
ljung.box.test
,
jb.test
x <- matrix(rnorm(1000), 100, 10) rob.kr(x)