statsmodels.stats.stattools.robust_skewness¶
- statsmodels.stats.stattools.robust_skewness(y, axis=0)[source]¶
Calculates the four skewness measures in Kim & White
- Parameters:
- Returns:
- sk1
ndarray
The standard skewness estimator.
- sk2
ndarray
Skewness estimator based on quartiles.
- sk3
ndarray
Skewness estimator based on mean-median difference, standardized by absolute deviation.
- sk4
ndarray
Skewness estimator based on mean-median difference, standardized by standard deviation.
- sk1
Notes
The robust skewness measures are defined
\[SK_{2}=\frac{\left(q_{.75}-q_{.5}\right) -\left(q_{.5}-q_{.25}\right)}{q_{.75}-q_{.25}}\]\[SK_{3}=\frac{\mu-\hat{q}_{0.5}} {\hat{E}\left[\left|y-\hat{\mu}\right|\right]}\]\[SK_{4}=\frac{\mu-\hat{q}_{0.5}}{\hat{\sigma}}\]