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蜗牛也是牛Megan · 2018年10月14日

问一道题:NO.PZ2018062016000056

问题如下图:这道题目中,excess kurtosis 等于0,不是说明是正态分布吗?怎么会有fat tail? 

    

选项:

A.

B.

C.

解释:



1 个答案

菲菲_品职助教 · 2018年10月15日

同学你好,excess kurtosis 等于0不代表一定是正态分布哦。而是正态分布的excess kurtosis 等于0。Stock C虽然excess kurtosis 等于0但它的偏度等于0.8,是positive skewed,has a right long fat tail。

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