Rolling Kurtosis¶

Computes the rolling excess kurtosis (Fisher) over a numeric vector. Requires at least 4 non-NA observations per window.

Usage¶

rolling_kurtosis(x, window_size, min_periods = window_size, method = "stable")

Parameter	Description
`x`	A numeric vector of type double.
`window_size`	Positive integer window length.
`min_periods`	Minimum number of non-`NA` observations required in a window to return a result. Defaults to `window_size`.
`method`	`"stable"` (default) uses Terriberry’s online algorithm. `"fast"` uses a prefix-sum approach (faster, but susceptible to catastrophic cancellation when values are large and variance is small).

A numeric vector with rolling excess kurtosis values.

x <- as.double(c(1, 2, 3, 4, 5))
rolling_kurtosis(x, 4L)