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Scand J Statist 8: 154-168, 1981
HANNU OJA
University of Oulu
ABSTRACT. This paper deals with the concepts of location, standarddeviation.More generally,there is often a
scale, skewness, and kurtosis of univariatedistributions.Some set of functions U such that Eu (X) measures the
old and some new partial orderingsare presentedfor comparing
the propertiesof distributions.The works of Bickel & Lehmann requiredpropertyof the distributionof the random
(1975, 1976) and van Zwet (1964) are brought together by variableX for all ue U. Then it is possible to base
using the notion of convexity of order k. Measures of location, an orderingon this by defining
scale, skewness and kurtosis are introducedwhich include the
classical measures as particularcases.
Xs Y if Eu(X) < Eu(Y), Vu&U. (1.1)
Key words: generalized convexity, crossings of cumulative
distribution functions, kurtosis, location, scale, shift function,
skewness Sometimes1Ucan be consideredas the set of "utility
functions".
This kind of an approachhas been used in statis-
1. Introductionand motivation tics quite often; this is reflectedby questionssuch as
"Is kurtosisreally'peakedness'?"(Darlington,1970),
In this paperwe study the propertieslocation, scale, instead of the question "What does the classical
skewness and kurtosis of univariate distributions. measure of kurtosis really measure?".It is as if
Why then are thesepropertiesimportant?The useful- psychologistswere to study from a single IQ what
ness of location and scale is more obvious since they intelligencereally is. We think that it is reasonable
have a clear interpretation,and thereis an extensive first to agree on what we mean by location, scale,
literatureconcerningthem. Skewness and kurtosis skewness and kurtosis, and only then try to find
are often consideredas secondarystatisticsindicating measuresfor them.
the stability of the primarystatistics,location and This, therefore,constitutesan alternativestarting
scale. point, which may be termed"analysisof meaning".
Historically,the need to study skewnessand kur- We try to answerthe questions:What kind of con-
tosis first came up when it was found out that the cepts are location, scale, skewnessand kurtosis?Can
normal curve often failed to give an adequaterep- we define them operationally?When is it possible to
resentationfor actual data. In Pearson'scurve sys- say that "G possessesthe propertyP more strongly
tem the model for data was then selectedon grounds than F does"?Can these propertiesbe measured?
of the observedstandardizedthird and fourth mo- Carnap(1962)writes:"Byan explicationwe under-
ments, fl, and P2. Sincethen manytests for normality stand the transformationof an inexact, prescientific
have used these statistics.Distributionsof three or concept, the explicandum,into an exact concept,the
more parameters,some possiblyindicatingskewness explicatum.The explicatummust fulfil the require-
and kurtosis, have often been looked upon as ments of similarityto the explicandum,exactness,
models of non-normality.Definitionsand orderings fruitfullness,and simplicity.Threekinds of concepts
concerningskewnessand kurtosishave been used in are distinguished:classificatory(e.g. Warm), com-
studyingrobustness,in selectinglocationparameters, parative (e.g. Warmer),and quantitativeconcepts
in reliabilitytheory,in nonparametricalstatistics,etc. (e.g. Temperature)".He continues: "The historical
How should one begin to study the notions loca- developmentof the language is often as follows: a
tion, scale, skewness and kurtosis. Usually statis- certain feature of events observedin nature is first
ticians work operationally,defininge.g. location as describedwith the help of a classificatoryconcept;
the property which is measured by the mean, or later a comparativeconcept is used instead of or in
scale as the property which is measured by the additionto the classificatoryconcept;and still later,
Scand J Statist 8
Location, scale, skewness and kurtosis 155
Notation2.1. Let f be a real valuedfunctiondefined Notation2.2. Let F and G be c.d.f.'s. We then write
in Ic R and let then R(x) = R(x; F, G) = G-IF(x), x ESF,
S(f) = S(f()) = sup S(Xl), f(x2), ..., f(xn)] A(x) = R(x) - x, x ESF,
A*(x) = R-1(x) -x = F-IG(x) -x, x eSG, and
where the supremumis extendedover all sets xi <
x2 <... <x, (xiSI), n is arbitrarybut finite, and r(x)=r(x; F, G) = Gf(xX) xE SF. (2.2)
S(Y1, Y2, ..., Yn) is the number of sign changes of the
Scand J Statist 8
156 H. Oja
Among others, van Zwet (1964) and Barlow & We first give some intuitivedefinitionsregarding
Proschan (1975) have studied the function R. The location:
quantileprobabilityplot (Q - Q-plot)introducedby
Wilk & Gnanadesikan(1968) for two theoretical
c.d.f.'s is just a graphicalpresentationof R(x). If Definition3.1. We say that F and G are strongly
X is distributedaccordingto F (write X- F), then locationcomparableif A or A* is convex of order 0
Y=R(X)-G. If G is the exponentialdistribution (i.e., non-negative);we then writeFc?G.A model X
with A=1 then R is the hazard function, R(x)- is a location model if F, G EJ=>-FcoG.We say that G
- log (1 - F(x)) = - log F(x), and r is the failure rate
is to the right of F if A is convex of order 0, i.e., if
Fs oG.
function of F, that is, r(x) = R'(x) =f(x)/F(x). The
alternativerepresentationof r(x), The relation c? is symmetricaland reflexive,but
not transitive.It is clear that Fc?G if and only if F
f(x) 1- G(R(x)) f(x)/F(x) and G do not cross each other anywhere.The model
,(x) = 1 - F(x) g(R(x)) g(R(x))/G(R(x)) ( 7={F(@ +a): aER} is a location model, but not
every location model is of this kind.
The shift functionA is convex of order0 (A(x) > 0)
shows that in generalr is the quotientof the failure if and only if F(x) > G(x),Vx. Therefore,the ordering
rate functions of F and G, evaluated at the same :o coincides with the well-known "stochastic or-
quantile (F(-) = G(R(-))). It is also remarkable that dering". The relation <O is a partial ordering in
every model :, i.e., it is reflexive, transitive, and
fF1l(u) antisymmetrical.If X is a location model, then
r(F-'(u)) = - (u) (2.4)
<:7, <O>is an orderedset, since any two elements
in : are s o-comparable.
uE(0, 1). Parzen(1979) discussed"the density-quan- If we studythe crossingsof densitieswe can define
tile function"fF-', stating,e.g., that a stronger relationthan < o by requiringthat f and
g cross each other exactly once, the sign of f-g
1 changing from + to -, where f and g are the
Entr (F) = - f log fF-(u) du (2.5) respective densities of F and G. This relation is,
however,not transitive.
If we want to find other orderings which seem
Tarter & Kowalski (1972) used the function suitable for considering location, we can study
0kD-1F(x)/f(x) to test normality. Clearly this func- orderings of the type (1.1) and use as "test func-
tion coincides with (r(x))-1 if G = (D. tions" the classes
Doksum & Sievers(1976) used the responsefunc-
tion A(x) = R(x) - x in graphical comparisons of two = {u: u increasing and continuous},
populations. Doksum (1974) called A also a shift ?2 {max (,t): teR}
function since X, when shifted by A(X), has the
same distributionas Y, i.e., X+ A(X) G. and
Now we are ready to define usefulrelationssome
of which are studiedin Sections3-6: 3 {min (, t): tEER}.
Definition2.2. Let X be a randomvariablewith the It is well known (see, for example, Stoyan (1977))
c.d.f. Fand let Ybe a randomvariablewith the c.d.f. that
G. Then we write F ; kG or, equivalently,X s k Y if cG
A is convex of orderk, k =0, 1, FsOGF cG/F (3.1)
Definition3.2. The functionT: J - R is a measureof when and how is the comparisonof scale possible?
location in J if This question can be answeredin many ways, one
of which is the following:
(L1) T(ax F+ b) = aT(F) +b, a, bER, VYFe ,
Definition4.1. We say that F and G are strongly
and scale comparableif A or A* is convex of order 1
(L2) T(F)< T(G) if F,GeZj and F s G. (i.e., increasing);we then write Fc1G. A model 7
is a location-scale model if F, Ge:=> Fc1G. We say
It is easy to see that if 'T: 7 - R satisfies the that Fhas scale not larger(or is not more spreadout)
conditions (L1) and (L2) and if F is symmetrical than G if A is convex of order 1 (increasing),i.e., if
about ,u, then 'f(F) =ys. Furthermore, if .F is a sym- Fs 1G.
metricalmodel, i.e., it includessymmetricaldistribu- The relationcl is clearlyreflexiveandsymmetrical,
tions only, and if T'1: - R and '2: .- R are two but not transitive.It can be easily seen that Fc1G if
measures of location in 7, then T1(F) =TF2(F) for and only if S(A( )-a) 1 for all aeR, i.e., if and
all FEZ. only if F(-) and G(- +a) cross each other at most
once for any a ER. The model 7 = {F(a - + b): a, b CR,
Remark3.1. Bickel & Lehmann(1975) stated the a >O} is a location-scalemodel, but not every loca-
conditions(L1)and (L2)in a differentform. Doksum tion-scalemodel is of that kind.
(1975) discussed,for all increasingand continuous The ordering ;s is identical with the "spread"-
distributions F, "the location interval" [QF, OF] orderingintroducedby Bickel & Lehmann(1976).
which contains all the values T(F) of the different They stated for possiblyasymmetricalF and G that
measuresof location (w.r.t. sQ. G is more more spreadout than F is
Suppose now that s is the selected orderingof
location.It is theneasyto see that amongthe classical G-1(v) - G-1(u) > F-1(v) - F-1(u) for all 0 < u < v <1,
measuresof location the mean (4.1)
=
i.e., if any two quantiles of G are at least as far
1,(F) -{xdF(x) F-'(u) du
apart as the correspondingquantilesof F. The in-
equalitiesin (4.1) hold if and only if A is increasing.
satisfiesthe requirements(L1)and (L2)in models 3 Doksum (1969) used the same orderingto indicate
such that yu1(F)is finite for all FE 7. Similarly,the heavy tails. We think, however,like Bickel & Leh-
median mann, that tailweightshould be specifiedby a scale-
free ordering.
82(F) = F-(i) = inf {x: F(x) > i} We now study some propertiesof s 1. (We write
FfkG if F'kG and G ?kF):
satisfies(L1)and (L2)if the model j is such that F
is strictly increasing in 11a(F)for all FEJ. The mode Theorem 4.1. The relation ' 1 is transitive and
is valid as a measureof location in any model which
contains symmetrical and unimodal distributions Ft1G-23a: F() = G(- +a).
only. An importantlarge class of measuresof loca-
tion is the set of the symmetricallyweightedquantile Proof. ConsiderF, G and H such that F s 1G and
averages G sl H. Then AL(x)=R1(x) -x = G-F(x) -x and
A,(x) = R,(x) - x = H-1G(x) - x are increasing, i.e.,
K(8 = F-(u) dK(u), for all xl < x2,
RA(x2) - RL(xL)> x2 -xl
S2 - {u: u convex}.
Remark4.3. If in Definition4.2 we use some other
(4.8)
measuresof location (e.g. medians) instead of ex-
Accordingto Whitt (1980),the ordering <s, "com- pectations UF and /UG, then Theorem4.2 still holds
bines monotonicityand variability",and the strictly but Theorem 4.3 is not true. We do not present
stronger ordering s. contains only "variability". measuresof scale for these orderingsin this paper.
It can be shown that
Corollary 4.2. The standard deviation
Fsc2 G--Fs s,lG. (49
aF (Xf-r F)2dF(x)]
=
(4.11)
For this and more referencessee Stoyan (1977). A
function u eS, can be interpretedas a risk taker's
utilityfunctionin a game context. is a measure of scale for < * (and thus, by Theorem
Let now 7 be any selected model and s the 4.2, also for ; 1 and ; disp).
selectedorderingof scale. We define what we mean It is easy to find cases in which Fs** G, but
by a measureof scale: F> aG. Let, for example, F to be the c.d.f. of
U(O,6) and G the c.d.f. of N(O,1). (See Fig. 2.)
Definition4.3. The functionT: -R is a measureof Yet other measuresof scale for ' l can be found
scale if by using the next theorem:
(SCJ) T(a x F+ b) = Ia T(F), Va, b eR, VFeS, Theorem4.4. Suppose that F< 1G. If X1, X2, ...,Xn
and Y1, Y2, ..., Yn,are random samples from F and G,
and respectively, and
Proof. Notice that F< 2G if and only if R is con- and similarly for R2. Set now R3 = R2R- = H-IF. If
vex (of order2). Let us supposefirst that (5.3) holds. xl < X3< X4 and X1 < X2 < X4, then
Then(R(x4) - R(x2))(X2- xl) > (R(x2) - R(x1))(x4 -X2)
for all xl <X2 <X4 (set x3 =X2 in (5.3)), i.e., R3(x4) - R,(x4) R2(RL(x4))- R2(Rl(x3))
R(x1) (X4 - x2) - R(X2)(X4 - xl) + R(X4)(X2 - xI) ?>0 for R3(x2) - R3(xl) R2(R1(x2)) - R2(Rl(xL))
all X1 <X2 <X4. Thus
Rl(x4) - Rl(x3) x4 - XS
1 1 1
Rl(x2)- Rl(xl) X2 - X1
Xi x2 X4 >0 for all xi<x2<x4,
R(xl) R(x2) R(x4) Thus, R, is convex and Fs 2H.
which meansthat R is convex. Secondly,R is convexif and only if R-1 is concave.
Suppose now that R is convex. Then Hence F- 2G--R(x)-ax b for some a >O and b-
0 for
F(-) =G(a +b) for some a >O and b.
R(x1) (x3 - X2) - R(X2) (X3 - Xl) + R(x3) (X2 X
-X1)
all X1 <X2 <X3, i.e., R(x3)(x3-xl) - R(x2)(x3 -Xi) > For an alternativeproof see also van Zwet (1964,
p. 49). 0
R(x3)(x3 -x2) -R(xj)(x3 -x2) for all X1 <X2 <X3
Therefore
In reliabilitytheory one often studies"skewness"
R(x3)- R(X2) X3 - X2 for all x <x <x propertiesof distributions.The distributionF of a
IL 2
R(x3) - R(xl) x3 - xx 3, nonnegativerandomvariableis said to be increasing
failure rate (IFR) if R = G-1Fis convex and decreasing
and failure rate (DFR) if R = G-1F is concave, where
G(x)=1 -e-5. In other words, F is IFR if Fs2G
R(x3)- R(X2) X3- X2 and DFR if G ! 2F, where G is the exponential
R(x2) - R(x1)> x2 - xLfor all X X2 x3 distribution.A propertyrelated to this is that F is
said to have an increasing failure rate average (F is
If X1 < X2 < x3 < X4 then IFRA) if R(x)/x is increasing and a decreasingfailure
rate average (F is DFRA) if R(x)/x is decreasing.
R(x4) - R(x3) R(x4) - R(x3) R(x3) - R(x2)
(For definitions and references, see Barlow &
R(x2) - R(x1) R(X3) - R(X2) R(X2) - R(x1)
Proschan,1975.) More generally,we could say that
X4-X3 x3-X2 X4-X3
F is IFR with respectto G if R is convex(i.e., convex
ordering)or F is IFRA with respectto G if R(x)/x
x3-X2 x2-Xl x2-X1
is increasing("star-shapedordering"discussed,e.g.,
and if xI <x3 <X2 <X4 then in Barlow & Proschan(1966), Doksum (1969) and
Lawrence(1975)).
R(x4) - R(x3) (R(X4) - R(X2)) + (R(x2) - R(x3)) The < 2-orderingis thus a natural extension of
R(x2) - R(x1) R(x2) - R(x1) IFR-orderingfor random variableswhich are not
necessarily positive. A generalizationfor IFRA-
(X4-X2) + (X2-X3) X4-X3 orderingwould be the 5star-ordering definedas fol-
X2-X1 X2-Xi lows:
11- 811923 Scand J Statist 8
162 H. Oja
rG if 3y: R(X)-R(Y)
F;S star
x-y
is increasingin S(F) - {y} (5.4)
Scand J Statist 8
Location, scale, skewness and kurtosis 163
such that
required for F * *G.
20 It is enough to prove that if Fs **G and Fc2G F(x) G(x) resp. for X1xx 2
x<1or x>x2.
then Fs2G. SupposeFc2Gand Fs**G. Then A is
convex or concave.If A is convex, there is nothing (See Fig. 3.) If we denote X+ =max (X, 0), X_=
to prove. If A is concave then it must be a straight -min (X, 0), Y, =max (Y, 0) and Y_ = -min (Y, 0),
line, and thereforeFs2 G. a we get the equalities
Corollary 5.1. If 3 is a location-scale-skewness model EX+ - EX_ = EY+ - EY_ = 0 (5.8)
then 2** is transitive in I and any two distributions
in X are <s**-comparable.If F, G E7, then and
Proof. The proof follows from Theorems5.1 and We first show that X2 S52 Y+ and Y_ s s2X-.
5.2. 0 Supposethat EX+< EY+.If t > x2, we immediately
see that
Remark5.1. It is clear that if we do not suppose
that the expectationsand the variancesare finite, Emax (X+, t) < Emax (Y+, t).
it is still true that Fs2G=>F?starG=Fs**G, and
if Fc2G then Fs**G=> F2G. If t < x2 then Emax(X+,t) = EX+ + t - Emin(X+, t) s
Assume now that Y is the selectedmodel and s EX+ + t - E min (Y+, t) < EY+ + t - E min (Y+, t) =
the selectedskewnessordering.We now state what E max (Y+, t), since max (Z, t) +min (Z, t) =Z + t
we mean by saying that T: : - R is a measure of for any random variable Z and min (Y+, t) sO
skewness: min (X+, t). Thus X+ sr,2 Y+, i.e., X+ ' s, Y+, and
so also x2 s2Y+2. Therefore E(X+2)s E(Y+), and
Definition5.4. The functionT: .X - R is a measureof consequentlyby (5.9) E( Y2) < E(X!). Now we can
skewness in X if apply the above reasoningfor Y-2 and X2 insteadof
X+ and Y+, and see in exactly the same way that
(SK1) T(a x Ft b) = sign (a) *T(F), Va, b, FE 7,
Scand J Statist 8
164 H. Oja
If we, on the otherhand,supposethat EX+> EY+, Thus (5.12) holds, since R(X1), R(X2), ..., R(X,,) is a
then EX_ > EY_. As earlier we then see that Y_ s s2X_ randomsamplefrom G. El
and y2 S X In particular E(Y) E(X-
< ). There-
fore, by (5.9) E(X4) < E(Yf) and consequently If Di and Di, i =2, ..., n, are as in Theorem 4.4
X+IS S2.Y and Fs 2G, then it can be easily shown that also
Thus, 4 <y2
S2 and Y2 SS2 X2 and if t Eg then
Et (X2 sign (X)) - Eu (X+)- Eu (X2) ai sign (Dj - bi, Di):) : ad1sign (D; - bUD;),
(5.13)
< Eu (Y+) -Eu (Y!)
whereai2> 0, bij> 0, 2 < i <j < n, and
= Et (Y2 sign (Y)). O
ai isO2E,
Remark5.3. If in Definition5.3 we use some other 0 '(5.14)
measures of location and scale in place of expecta-
tions jF and G and standarddeviationsaF and aG, where 0 <a2
a3,... ?a,. Results similar to (5.14)
then Theorems5.2 and 5.3 are not true. We do not are discussedin Barlow & Proschan(1966, Theorem
study these orderings. 3.12) and Bickel & Doksum (1969, Remark 2.3).
Many of the test statisticsfor testing exponentiality
Corollary 5.2. If X s~* Y then against IFR or DFR alternativesare of the form
(5.13) or (5.14) (see, for example, Gail & Gastwirth
IX-EX \2k+1 (Y-EY 2k+1 (1978), Lin & Mudholkar(1980), and Proschan &
(5.10)
E/Vr) <EV-r Pyke (1967)).Thus,if v is a measureof location then
k = 1, 2, ..., if the expectations exist. y1(F) = T( ai1 sign (D; - bjD)), (5.15)
i<1
Proof. The function u(x) =x(2k+l)/2, k =1, 2, ..., is whereaij> 0, bi2>0, 2 < i <j <n, and
increasing and convex on [0, oo). Thus t(x)=
u(max (x, 0)) - u ( - min (x, 0)) - x I(2k+1)/2 sign (x) EV7
On the otherhand, t(x2 sign (x)) = Ixl2k+l sign (x) = y(F) = l(2jD) (5.16)
1
.2k+
Remark5.4. van Zwet(1964,pp. 10-15) provedthe where 0 < a2 < a3 < ... < an, preserve the ordering de-
correspondingresult for his convex ordering < 2. He terminedby S 2. A simple special case of (5.16) is
also found (pp. 16-17) that the Pearsonmeasureof
skewness -
(X(3) X(a)) (5.17)
X3) - X(1)
EX-Md(X) (5.11)
l/Var X where X(l), X(2), X(3) is an ordered sample from F.
From Lemma5.1 follows also that if FS 2G then
does not preservethe ordering s 2. Therefore,it is
not the measureof skewnessfor S * or s ** either.
Othermeasuresof skewnessfor s 2 can be found
by using the next theorem. A(xl) AA(x x2) (X2 2)A(X)
Theorem 5.4. Let Di and D', i=2, ..., n, be as in for all x1<x
Theorem4.4. If Fs 2G then or
Proof. Suppose that Fs 2G. Let X1, X2, ..., X,, be From this follows that the measures
a randomsamplefromF. Thenif i <j, by Lemma5.1
F-1(c) + F'(1 - a) - 2F 1(?)
_ lJR(X,i))- R(X,i_l ) o E(0 51
\ X,i - X,i_ 1\ .
(5.18)
Scand J Statist 8
Location, scale, skewness and kurtosis 165
Definition6.3. We write
Definition6.1. We say that F and G are strongly
kurtosis comparable if F*c2G*; we denote this by Fs **G if 3a, b, x <x2?x3:
FcsG. A model :T is a location-scale-kurtosis model
if F, G E =- Fc8G. We say that F does not have more A(x) ax+b resp. for x<x1 or x26x<x3
kurtosis than G if F* < G*; we then write F< 8G. x1 x<x2 or x>x3.
ScandJ Statist8
166 H. Oja
and
(K2) T(F) <v(G) if F, GE7 and F<G.
cave about HF. If A is concave-convex, there is Corollary 6.2. If X and Y are symmetrical and X s * Y
nothing to prove. If A is convex-concaveand, as is then
supposed,
E _EX)2k E( Y-EY)2k (6.6)
A(x)-<ax+b resp. for x<xl or x2 < x< X3 /Vr l/Var
x1<x<x2 or x>x3
for some a, b and xl?x2<x3, then A must be a k = 1, 2, ..., if the expectations exist.
straightline. ThereforeF s sG. Ol
Remark 6.2. van Zwet (1964), pp. 20-21) proved
Corollary 5.1. If5 is a location-scale-kurtosis model the correspondingresultfor his s-ordering.
then < ** is transitive in 3 and any two distributions Other measuresof kurtosis for 5, can be easily
in 5 are *"-comparable. If F, Ge S then found as follows: If $ is a measureof skewnessfor
< 2 and F*(x) = F(x + 1SF) - F( - x +IF), x > 0, then
F **G3a > 0, b: F(x) G(ax + b).
T(F) = 4(F*)
Proof. The proof follows from Theorems6.1 and
6.2. Li is the respectivemeasureof kurtosisfor s
kind of a transformationR may, for example, not Doksum, K. A. & Sievers, G. L. (1976). Plotting with
preserveunimodality. confidence: Graphical comparisons of two populations.
Biometrika 63, 421-434.
The ordering < is an alternative ordering of Finucan, H. M. (1964). A note on kurtosis. J. R. Statist.
kurtosis. This is supported by the following: By Soc., Ser. B, 5, 360-361.
Definition 2.2, F ? 3G if A is convex of order 3. Gail, M. H. & Gastwirth, J. L. (1978). A scale-free goodness-
Thus F'? 3G if and only if r is convex (in the usual of-fit test for the exponential distribution based on the
Gini statistic. J. R. Statist. Soc., Ser. B, 40, 350-357.
sense). Furthermore,from F S 3Gfollows that F and Hinkley, D. V. (1975). On power transformations to sym-
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