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Calculating Rolling Kurtosis and Standard Deviation

nshapir2
Level 1
Calculating Rolling Kurtosis and Standard Deviation

I have data that is organized by Trial, Timestep and Observation Value. I want to get the rolling kurtosis, standard deviation and skew.

I am currently working with a windows recipe. 

I can get Stdev in windows but in the custom aggregations my  SKEWNESS and KURTOSIS formulas are failing (I am using the SQL syntax).

Is there a simpler way to achieve what I want? I want the rolling Kurtosis for across all trials at a given time step. For instance at time 25 take the kurtosis of all values observed through time 25 across all scenarios.

 

Thank you!

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