Higher Order Statistics
Higher Order Statistics : Assuming the expectation of a continuous distribution as [? ? ?? E X = xp(x)dx with the distribution function p(x) of the random variable x , the central statistic moment m of order k is given by m = E[(X ? E[X) , k >1 k k . The second central moment is the variance, the third central moment normalized by the variance is the skewness S , and the fourth central moment normalized by the variance is the kurtosis K: Skewness and kurtosis are parameters that describe deviations of a time series or a random value distribution from a Gaussian distribution
No records Found