5.23 FUNCTIONAL VIEW OF KURTOSIS
Finally, we provide a functional view of kurtosis demonstrating that it depends on the degree to which the pdf has heavy tails. The fourth-central moment is
(5.313)
Figure 5.19 shows an example of for Laplace and Gaussian pdfs. We have also plotted the cumulative area
(5.314)
as x is varied over the support of FX(x), and where . In both cases, the variance has been set to one so that is the same as the kurtosis (subtracting three gives the excess kurtosis). ...
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