madmad | R Documentation |
This function simply returns the square of the median absolute deviation (mad) function in S-Plus. This is required for supply to the threshold
series of functions which require estimates of spread on the variance scale (not the standard deviation scale).
madmad(x)
x |
The vector for which you wish to compute the square of mad on. |
The square of the median absolute deviation of the coefficients supplied by x
.
Version 3.4.1 Copyright Guy Nason 1994
Its a MAD MAD world!
G P Nason
threshold
# # # Generate some normal data with mean 0 and sd of 8 # and we'll also contaminate it with an outlier of 1000000 # This is akin to signal wavelet coefficients mixing with the noise. # ContamNormalData <- c(1000000, rnorm(1000, mean=0, sd=8)) # # What is the variance of the data? # var(ContamNormalData) # [1] 999000792 # # Wow, a seriously unrobust answer! # # How about the median absolute deviation? # mad(ContamNormalData) # [1] 8.14832 # # A much better answer! # # Now let's use madmad to get the answer on the variance scale # madmad(ContamNormalData) # [1] 66.39512 # # The true variance was 64, so the 66.39512 was a much better answer # than that returned by the call to the variance function.
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