Asymmetric Median of Absolute Deviations for Skewed Distributions

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Description

Function for the computation of asymmetric median absolute deviation (kMAD) It coincides with ordinary median absolute deviation (MAD) for k=1.

Usage

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kMAD(x,k,...)
## S4 method for signature 'numeric,numeric'
kMAD(x, k = 1, na.rm = TRUE, 
                eps = .Machine$double.eps, ... )
## S4 method for signature 'UnivariateDistribution,numeric'
kMAD(x, k = 1, up = NULL, ... )

Arguments

x

a numeric vector or a distribution.

k

numeric; tunning parameter for asymmetrical MAD; has to be of length 1 and larger than 1.

na.rm

logical; if TRUE then NA values are stripped from x before computation takes place.

eps

numeric; accuracy up to which to state equality of two numeric values

up

numeric; upper bound for search interval; important in distributions without left/right endpoint.

...

additional arguments for other functions; not used so far;

Details

For kMAD (asymmetrial MAD) is a root of the equation:

kMAD(F,k) = inf{t>0|F(m+kt)-F(m-t)>=1/2}

, where F is the cumulative distribution function, m is the median of F.

Author(s)

Peter Ruckdeschel peter.ruckdeschel@uni-oldenburg.de, Nataliya Horbenko Nataliya.Horbenko@itwm.fraunhofer.de

References

Ruckdeschel, P., Horbenko, N. (2010): Robustness Properties for Generalized Pareto Distributions. ITWM Report 182.

See Also

mad

Examples

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x <- rnorm(100)
kMAD(x,k=10)
kMAD(Norm(),k=10)

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