1. Evaluation of Kurtosis into the Product of Two Normally Distributed Variables.
- Author
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Oliveira, Amílcar, Oliveira, Teresa, and Seijas-Macías, Antonio
- Subjects
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KURTOSIS , *DISTRIBUTION (Probability theory) , *MATHEMATICAL variables , *GAUSSIAN distribution , *STATISTICAL correlation - Abstract
Kurtosis (k) is any measure of the "peakedness" of a distribution of a real-valued random variable. We study the evolution of the Kurtosis for the product of two normally distributed variables. Product of two normal variables is a very common problem for some areas of study, like, physics, economics, psychology, … Normal variables have a constant value for kurtosis (k = 3), independently of the value of the two parameters: mean and variance. In fact, the excess kurtosis is defined as k-3 and the Normal Distribution Kurtosis is zero. The product of two normally distributed variables is a function of the parameters of the two variables and the correlation between then, and the range for kurtosis is in [0;6] for independent variables and in [0;12] when correlation between then is allowed. [ABSTRACT FROM AUTHOR]
- Published
- 2016
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