Trimmed standard deviation

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Description

The trimmed standard deviation as a robust estimator of scale is computed.

Usage

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sd_trim(x,trim=0.2,const=TRUE)

Arguments

x

numeric vector, data frame or matrix

trim

trimming proportion; should be between 0 and 0.5

const

if TRUE, the appropriate consistency correction is done

Details

The trimmed standard deviation is defined as the average trimmed sum of squared deviations around the trimmed mean. A consistency factor for normal distribution is included. However, this factor is only available now for trim equal to 0.1 or 0.2. For different trimming percentages the appropriate constant needs to be used. If the input is a data matrix, the trimmed standard deviation of the columns is computed.

Value

Returns the trimmed standard deviations of the vector x, or in case of a matrix, of the columns of x.

Author(s)

Peter Filzmoser <P.Filzmoser@tuwien.ac.at>

References

K. Varmuza and P. Filzmoser: Introduction to Multivariate Statistical Analysis in Chemometrics. CRC Press, Boca Raton, FL, 2009.

See Also

sd,mean

Examples

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x <- c(rnorm(100),100) # outlier 100 is included
sd(x) # classical standard deviation
sd_trim(x) # trimmed standard deviation

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