Knowledge Base

Kurtosis Should Be 0 (Not 3)

Kurtosis refers to the “peakedness” of a distribution. In the classical definition, the kurtosis of a normal distribution is 3.

The definition of excess kurtosis includes a term -3, explicitly to set the kurtosis of a normal distribution to zero (or to reference against a theoretical normal distribution). This leads to some confusion. Our SimulationKurtosis function should return 3 for a normal distribution.

You can find the excess kurtosis with a function like

=SimulationKurtosis( A1 ) - 3

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