Calculates the four skewness measures in Kim & White
Parameters: | y : array-like axis : int or None, optional
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Returns: | sk1 : ndarray
sk2 : ndarray
sk3 : ndarray
sk4 : ndarray
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Notes
The robust skewness measures are defined
SK_{2}=\frac{\left(q_{.75}-q_{.5}\right) -\left(q_{.5}-q_{.25}\right)}{q_{.75}-q_{.25}}
SK_{3}=\frac{\mu-\hat{q}_{0.5}} {\hat{E}\left[\left|y-\hat{\mu}\right|\right]}
SK_{4}=\frac{\mu-\hat{q}_{0.5}}{\hat{\sigma}}
[R59] | Tae-Hwan Kim and Halbert White, “On more robust estimation of skewness and kurtosis,” Finance Research Letters, vol. 1, pp. 56-73, March 2004. |