Definition:Excess Kurtosis

Definition
Excess kurtosis is defined as the difference between the kurtosis of a particular probability distribution and that of the Gaussian distribution.

Let $X$ be a random variable with kurtosis $\alpha_4$.

By Kurtosis of Gaussian Distribution, the kurtosis of a Gaussian distribution is equal to $3$.

So the excess kurtosis of $X$, usually denoted $\gamma_2$, is given by:


 * $\gamma_2 = \alpha_4 - 3$

Also see

 * Definition:Kurtosis