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Can you please advise which distribution to follow when your skewness is 0.28 and Kurtosis value is 51. Since it's leptokurtic and positively skewed I would like to fit distribution and also wanted to calculate distribution value at each time "t" just like we calculate Z score for Normal Distribution.

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In the current state, the question should be moved to Cross Validated in my opinion. –  SRKX Apr 14 '12 at 12:08
    
If you can put in the data in a public google spreadsheet, I can throw it to Oracle Crystal Ball and see what distribution is returned. What you mention is just matching (higher) moments of the dataset for fitting, but MLE would typically be a preferred approach when fitting data to distributions. –  Samik R Apr 17 '12 at 19:55

2 Answers 2

That can be a somewhat difficult question to answer, given that the context may yield different distributions. Nevertheless, I think that you could try to fit the best distribution algorithmically. For instance, lately I found this package at Matlab file exchange:

Finding the best distribution that fits the data Link

(...) This is where Mike's allfitdist comes into play. Statistics Toolbox supports a long list of distributions, including parametric and nonparametric distributions. allfitdist fits all valid parametric distributions to the data and sorts them using a metric you can use to compare the goodness of the fit. (...)

Hope that this helps. Let me know whether it worked for you!

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I think the best answer is to test different distributions with your specific data set and see which fits the data the best... skewness and kurtosis are just a small piece of information , there is still a good deal of information we don't know and won't have with out having the data set in front of us

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