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Skewness and kurtosis

Thread starter #1
Hi David,

In the 2011 quant part a video you define the numerator of skewness as E[(Y-mu)^3] and then as mu^3 (slide 14). The same goes for kurtosis. Is there an error or am I interpreting something incorrectly?

Any explanation would be gretly appreciated.


David Harper CFA FRM

David Harper CFA FRM
Staff member
Hi Mike,

The mu^3 is really a mistake (legacy notation actually). The correct numerator for skewness is the third moment E[(Y-mu)^3] and the correct numerator for kurtosis is the fourth moment E[(Y-mu)^3]. In general, the r-th moment is E[(Y-mean)^r].

Apologies, I've got to get rid of the mu^3 and mu^4

Thanks, David