Why is the kurtosis of a N(0, 1) magically equal to three?
by Ben Klemens

© All Rights Reserved

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Why is the kurtosis of a N(0, 1) magically equal to three?
by Ben Klemens

© All Rights Reserved

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kurtosis The main question is, why is the kurtosis of a N (0, 1) magically equal to three?

Or more generally, why is

Z

x2

1

x4 e 22 dx = 3 4 ?

(1)

2

I assume = 0 for notational convenience, but the coordinate translation is trivial. We

replace x2 in the exponent with (x )2 , and since we are looking for a central moment,

replace x4 in equation 1 with (x )4 . The notation is uglier but the math will be exactly

the same.

We need to apply integration by parts, wherein

Z

Z

vdu = u v udv.

(2)

x2

x2

e 22 dx

u = e 22

du = x

2

2 3

v = x

dv = 3 2 x2 dx

The reader will note that v du is indeed the integral from equation 1. Then, applying

formula 2, equation 1 becomes:

Z

2

x2

1

2 3 x

2

2

2

2

(3)

x e 2

+ 3

x e 2 dx

2

The first part is symmetric around zero, and so we neednot do any calculation to see that it

will be zero. The integral (after multiplying through 1/ 2) is the equation for the second

moment, aka 2 , meaning that equation 3 reduces to 3 4 , as expected.

variance Now, dear reader, you may feel that the above was begging the real question,

which is: why does something that involves the square root of pi evaluate to something as

nice as three ? To answer this, we need to explain why it is that the variance of a N (, )

is 2 . That is, how do we evaluate the integral at the end of equation 3? We need only

reapply formula 2, with:

x2

x2

du = x

e 22 dx

u = e 22 .

2

2

v = x

dv = 2 dx

1

Notice that this is exactly like the first application of the formula, but with v = 2 x instead

of v = 2 x3 . Then, the second moment is:

Z

Z

x2

x2

x2

1

1

2

2

2 22

2

2

2

2

e dx

xe

+

(4)

x e dx =

2

2

The left part is again symmetric and zero by inspection. The integral on the right is a little

more difficult. The trick1 is to square the integral:

2 Z

Z

Z

Z Z

(x2 +y 2 )

y 2

x2

x2

2

2

2

e 2 dx =

e 2 dx

e 2 dy =

e 22 dxdy.

wePcan think ofPanP

integral as a sum, so squaring that

P

sum can either be written as ( i ai ) ( j aj ) or as i j ai aj .

Now rewrite the problem in terms of polar coordinates. The conversion is x = r cos and

y = r sin , meaning that x2 + y 2 = r. The change-over of the integral requires multiplying

by the determinant of the Jacobian; that is:

cos

r sin

sin

= r cos2 + r sin2 = r.

r cos

Z 2

Z 2 Z

r 2

r 2

2

e 22 rdrd =

e 22 d

0

0

0

0

Z 2

=

2 d

0

= 2 2

Recall that we

had squared the integral to do all of this, so the correct solution is the square

root of this: 2. Now, we can substitute that in to equation 4 to find the correct second

moment:

Z

x2

x2

1

1

2

+

e 22 dx = 0 +

xe 22

2 2 = 2 .

2

2

QEFD.

1

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