Testing the Population Kurtosis Parameter: An Empirical Study with Applications

Abstract

The purpose of this paper is to propose some test statistics for testing the kurtosis parameter of a distribution. Since a theoretical comparison among the test statistics is not possible, a simulation study has been conducted to compare the performance of the test statistics. We have compared both parametric and non-parametric methods. Our simulation results indicate that for testing the kurtosis parameter the classical method performs well when the data are from both normal and beta distributions and bootstrap methods are useful for uniform distribution especially when the sample size is large. Heath related data are analyzed to illustrate the findings of the paper.