Computing 4th cumulant of Gaussian variable

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Divij Gupta
Divij Gupta el 19 de Jun. de 2021
Respondida: Chunru el 19 de Jun. de 2021
I am trying to write a program to compute the 4th cumulant for a given array of numbers. For a test, I'm generating an array of numbers distributed as a Gaussian distribution. The expected 4th order cumulant is 0. However, I am getting a wildly oscillating value, wildly oscillating around 0. Here is the code, I have no idea what is going wrong (if anything):
function cu4 = fourthCumulantReal(a)
cu4 = moment(a,4) - 3*(moment(a,2))^2;
end
Test Data: fourthCumulantReal(normrnd[0,1,[1,50]])

Respuestas (1)

Chunru
Chunru el 19 de Jun. de 2021
When number of samples is sufficiently large, the sample mean (your fucntion output) is approaching to the true expected value (0).
fourthCumulantReal(normrnd(0,1,[1,500000]))
ans = -0.0036
function cu4 = fourthCumulantReal(a)
cu4 = moment(a,4) - 3*(moment(a,2))^2;
end

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