Intraday Trading : Median Absolute Deviation
This page last changed on Jun 02, 2008 by iank@bearcave.com.
The Median Absolute Deviation is supposed to be more attractive for Cauchy distributions (e.g., non-Gaussian distributions with fat tails).
This distribution is not that common and the coverage on Wikipedia is not terribly complete. The equation on Wikipedia for the Median Absolute Deviation (MAD) is:
A better description is provided on the National Institute of Standards and Technology page on Measurements of Scale. The equation is:
Where is the median of the data set.
