In probability theory and statistics, kurtosis (from the Greek word kurtos, meaning curved, arching) is any measure of the ‘peakedness’ of the probability distribution of a real-valued random variable. In a similar way to the concept of skewness, kurtosis is a descriptor of the shape of a probability distribution and, just as for skewness, there are different ways of quantifying it for a theoretical distribution and corresponding ways of estimating it from a sample from a population. There are various interpretations of kurtosis, and of how particular measures should be interpreted; these are primarily peakedness (width of peak), tail weight, and lack of shoulders (distribution primarily peak and tails, not in between).
‘Student’, on Kurtosis
Kurtosis as Peakedness, 1905-2014. R.I.P.
The incorrect notion that kurtosis somehow measures ‘peakedness’ (flatness, pointiness, or modality) of a distribution is remarkably persistent, despite attempts by statisticians to set the record straight. This article puts the notion to rest once and for all. Kurtosis tells you virtually nothing about the shape of the peak – its only unambiguous interpretation is in terms of tail extremity, that is, either existing outliers (for the sample kurtosis) or propensity to produce outliers (for the kurtosis of a probability distribution). To clarify this point, relevant literature is reviewed, counterexample distributions are given, and it is shown that the proportion of the kurtosis that is determined by the central μ ± σ range is usually quite small. … Kurtosis