MAD - median absolute deviation
2022-03-15 ยท 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