kMAD: Asymmetric Median of Absolute Deviations for Skewed...

Description Usage Arguments Details Author(s) References See Also Examples

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 [email protected], Nataliya Horbenko [email protected]

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)

RobExtremes documentation built on May 31, 2017, 1:39 a.m.