Rolling.
kurt
Calculate unbiased rolling kurtosis.
This function uses Fisher’s definition of kurtosis without bias.
Under Review.
Returned object type is determined by the caller of the rolling calculation.
See also
Series.rolling
Calling object with Series data.
DataFrame.rolling
Calling object with DataFrames.
Series.kurt
Equivalent method for Series.
DataFrame.kurt
Equivalent method for DataFrame.
scipy.stats.skew
Third moment of a probability density.
scipy.stats.kurtosis
Reference SciPy method.
Notes
A minimum of 4 periods is required for the rolling calculation.
Examples
The example below will show a rolling calculation with a window size of four matching the equivalent function call using scipy.stats.
>>> arr = [1, 2, 3, 4, 999] >>> import scipy.stats >>> print(f"{scipy.stats.kurtosis(arr[:-1], bias=False):.6f}") -1.200000 >>> print(f"{scipy.stats.kurtosis(arr[1:], bias=False):.6f}") 3.999946 >>> s = pd.Series(arr) >>> s.rolling(4).kurt() 0 NaN 1 NaN 2 NaN 3 -1.200000 4 3.999946 dtype: float64