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deskquant
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Joined: October 24th, 2010, 2:54 am

Asymptotic distributions.

April 9th, 2011, 8:56 pm

For a sample (x1,x2, ...xT) of T observations random variable X The sample kurtosis under the normality assumption is distributed asymptotically as a normal with mean 0 and variance 24/T. How can we prove this?Thanks much!
 
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Alan
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Asymptotic distributions.

April 9th, 2011, 11:44 pm

I don't know, but this paper (http://fmwww.bc.edu/ec-p/wp501.pdf) suggests the answer is in Kendall & Stuart (1969)
 
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deskquant
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Posts: 48
Joined: October 24th, 2010, 2:54 am

Asymptotic distributions.

April 10th, 2011, 1:53 pm

Thanks Alan, will have a look.
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