How to calculate skewness & kurtosis ?
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Hi,
I would like to calculate the third and fourth moment with returns data (matrix 1x132)
Do you know the function that can I use for that?
Thanks!
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Respuestas (2)
Star Strider
el 1 de Feb. de 2015
Editada: Star Strider
el 1 de Feb. de 2015
If you have the Statistics Toolbox, you can calculate the skewness and kurtosis directly with their respective functions.
If you don’t have the Toolbox, it would be relatively easy to code those functions:
skewns = @(x) (sum((x-mean(x)).^3)./length(x)) ./ (var(x,1).^1.5);
kurtss = @(x) (sum((x-mean(x)).^4)./length(x)) ./ (var(x,1).^2);
These work for numeric vectors.
P.S. — Are your data double arrays or cells? If cells, you’ll likely have to use cellfun or cell2mat to work with any of these functions.
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Star Strider
el 11 de Feb. de 2022
Perhaps evaluating the functions with an argument vector would work?
skewns = @(x) (sum((x-mean(x)).^3)./length(x)) ./ (var(x,1).^1.5);
kurtss = @(x) (sum((x-mean(x)).^4)./length(x)) ./ (var(x,1).^2);
x = randn(1, 5000);
sk = skewns(x)
kt = kurtss(x)
.
Image Analyst
el 1 de Feb. de 2015
I have code where I do it from the histogram. You could easily adapt it to handle data not from a histogram. See the function at the bottom of the attached file. Let me know if you can't figure it out.
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