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

Author

Listed:
  • Nagatsuka, Hideki
  • Kawakami, Hiroshi
  • Kamakura, Toshinari
  • Yamamoto, Hisashi

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.

Suggested Citation

  • Nagatsuka, Hideki & Kawakami, Hiroshi & Kamakura, Toshinari & Yamamoto, Hisashi, 2013. "The exact finite-sample distribution of the median absolute deviation about the median of continuous random variables," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 999-1005.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:4:p:999-1005
    DOI: 10.1016/j.spl.2012.12.023
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    References listed on IDEAS

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    1. Serfling, Robert & Mazumder, Satyaki, 2009. "Exponential probability inequality and convergence results for the median absolute deviation and its modifications," Statistics & Probability Letters, Elsevier, vol. 79(16), pages 1767-1773, August.
    2. Mazumder, Satyaki & Serfling, Robert, 2009. "Bahadur representations for the median absolute deviation and its modifications," Statistics & Probability Letters, Elsevier, vol. 79(16), pages 1774-1783, August.
    3. Falk, Michael, 1997. "Asymptotic independence of median and MAD," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 341-345, June.
    Full references (including those not matched with items on IDEAS)

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