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