Kurtosis
Source: Wikipedia
We define a function for the sample-size-standardised excess kurtosis.
kurtosis <- function(x) {
xstand <- x - mean(x)
kurt <- (sum((xstand)^4))/((sum((xstand)^2))^2)-3/length(x)
return(kurt)
}
Generate samples
We select random sample sizes and generate a matrix of samples arranged in a list.
We are generating samples from the Stable distribution using the stabledist package.
The index parameter is chosen randomly between 1 and 2. The skewness parameter is set to zero.