The exact finite-sample distribution of the median absolute deviation about the median of continuous random variables

Hideki Nagatsuka, Hiroshi Kawakami, Toshinari Kamakura and Hisashi Yamamoto

Statistics & Probability Letters, 2013, vol. 83, issue 4, 999-1005

Abstract: In this work, the exact finite-sample distribution of the median absolute deviation about the median (MAD) of continuous random variables is derived. The main results are used for providing exact confidence intervals for the scale parameter of a location–scale model, which are robust to the presence of outliers.

Keywords: Median absolute deviation; Median; Robust statistics; Exact finite-sample distribution; Confidence interval (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:4:p:999-1005

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DOI: 10.1016/j.spl.2012.12.023

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