Kurtosis and skewness do not match the values of Excel

Problem When calculating the kurtosis or the skewness using the class TVector or TMatrix, the resulting values do not match with those obtained by most statistics packages
Solution The mismatch of the kurtosis (and skewness) between some statistics packages (e.g. Excel, Minitab, or Simca) and the SDL Component Suite is due to different assumptions: while Excel and the others assume the data to be a sample, the method SkewKurt of TVector (and of TMatrix) is based on the assumption that the data is a population. You can convert the population kurtosis into the sample kurtosis by using the following transformation:
KurtosisSample := (KurtosisPopulation+3)*sqr(NumData)*(NumData+1)/
                  (NumData-1)/(NumData-2)/(NumData-3) -

with KurtosisPopulation being the kurtosis value calculated by TVector, and NumData being the number of values used for the calculation.

Hint Newer releases of the SDL Component Suite offer an additional method called SkewKurtSample which calculates these statistical descriptors for samples.


Last Update: 2010-04-10