MAD - median absolute deviation

2022-03-15 · 1 min read

Wikiwand: https://www.wikiwand.com/en/Median_absolute_deviation

R Docs: https://www.rdocumentation.org/packages/stats/versions/3.6.2/topics/mad

MAD is a measure of statistical dispersion (like stddev) but is more resilient to outliers

MAD = median(abs(X - median(X)))

stddev_estimate = k * MAD

for normally distributed data, k = 1.4826