Timeline for Propagation of errors with median absolute deviation from the median?
Current License: CC BY-SA 3.0
9 events
| when toggle format | what | by | license | comment | |
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| Mar 26, 2013 at 2:06 | vote | accept | user670416 | ||
| Mar 26, 2013 at 0:18 | comment | added | Glen_b | You can directly compute robust scale estimates of linear combinations of independent r.v.s if you know their distribution. If you don't know their distribution and only know their robust scales, the examples show you it's not possible in general. In specific situations it might be possible to compute bounds, but the more 'robust' your scales, the wider the bounds are likely to tend to be. | |
| Mar 26, 2013 at 0:15 | comment | added | user670416 | OK, I think in my ignorance of statistics I'm asking the wrong question. Maybe a better phrasing would be: "Given that I need to provide error estimates of some form for a linear combination of these variables, and I know that they are not normally distributed, what is my best option?". I can give more information about the application if that would be helpful. The standard approach in my field's literature seems to be the head-in-sand, pretend that everything's gaussian and just report standard deviation. | |
| Mar 26, 2013 at 0:09 | comment | added | Glen_b | 'Robust' implies 'nonlinear' ... so I wouldn't generally expect linear combinations to have robust-scale-measures that are neat functions of the scale-measures of the components. Quantiles don't work that way for example, so doing complicated things with functions of quantiles certainly wouldn't be expected to. | |
| Mar 26, 2013 at 0:06 | comment | added | user670416 | (sorry - accidentally posted incomplete comment) You've shown that it will not work for my case - is there another statistic that I should use that will allow me to produce error estimates on a linear combination of my variables? | |
| Mar 26, 2013 at 0:05 | history | edited | Glen_b | CC BY-SA 3.0 |
added 24 characters in body
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| Mar 26, 2013 at 0:04 | comment | added | Glen_b | Great, no problem then. | |
| Mar 26, 2013 at 0:03 | comment | added | user670416 | Yes - I had been referring to "median absolute deviation from the median". | |
| Mar 25, 2013 at 23:54 | history | answered | Glen_b | CC BY-SA 3.0 |