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

From: Spencer Graves <>
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).

          If you'd like further help from this listserve, I suggest you PLEASE do read the posting guide! "". Anecdotal evidence suggests that post closer to the style recommended in this guide tend to get more useful replies quicker.

	  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>>(
> 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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> PLEASE do read the posting guide!

Spencer Graves, PhD
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Received on Fri Dec 09 15:27:57 2005

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