Re: [R] about comparison of KURTOSIS in package: moments and fBasics

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 09 Dec 2005 - 15:20:50 EST

          There are doubtless tests for kurtosos by itself, though I'm not familiar with any. When I'm conderned about kurtosis (which is often), I routinely make normal probability plots of observations and residuals from model fits. If I see roughly a straight line, I conclude that I won't likely be too misled by assuming normality. If I see a smooth "S" shape with long tails, I would be inclined to try to fit a Student's t model. If I see relatively sharp breaks, that's the fingerprint of a mixture.

          For mixture distributions, I like Titterington, Smith, and Makov (1986) Statistical Analysis of Finite Mixture Distributions (Wiley). There are more recent books available, but I haven't seen a better discussion of normal plots of mixtures. There are R packages for estimating mixtures of various kinds. To find them, I suggest you try "RSiteSearch" with a variety of different key phrases. For Student's t models, I suggest you try "fitdistr" in library(MASS) or "RSiteSearch" (or Google).

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	  hope this helps.
	  spencer graves
	

Baize, Harold wrote:

>
>
> Thanks to Spencer Graves for providing links to explain
> the various types of kurtosis reported by R packages.
>
> Spencer Graves>>(http://mathworld.wolfram.com/k-Statistic.html).
>
> Spencer also said:
>
> SG>> However, these are little used, as the estimates are known to be so
> SG>> highly variable. It is generally preferred to transform to normality or
> SG>> to use some other distribution and then use maximum likelihood.
>
> This advice is good if your interest is comparing models, but what
> if variation in kurtosis itself is your interest? I am wondering if
> someone could provide some direction for answering questions about
> differences between samples in kurtosis. There are tests of
> significance for means and variance. How would one test hypotheses
> of difference in kurtosis between samples?
>
> Thanks in advance.
>
> Harold Baize
> Youth Services Evaluator
> Butte County Department of Behavioral Health
>
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-- 
Spencer Graves, PhD
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Received on Fri Dec 09 15:27:57 2005

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