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The paper claims "there exists some function that converts mean absolute deviation to standard deviation" which is surprising and goes against my intuition barr
by nicholast 9y ago
The paper claims "there exists some function that converts mean absolute deviation to standard deviation" which is surprising and goes against my intuition barring cases where you make assumptions about the underlying distribution (such as approximating as Gaussian). The process of calculating mean absolute deviation includes taking the absolute value of distance from mean for individual points in the series, in which process information is lost. More on the diifference between the two here:
https://stats.stackexchange.com/questions/160436/converting-mean-deviation-to-standard-deviation https://stats.stackexchange.com/questions/160436/converting-...
- nicholast 9y agoCome to think of it I also addressed more about the differences between the two in this medium post discussion of the Kelly Criterion. https://medium.com/@_NicT_/an-optimal-trade-a374064fda91 https://medium.com/@_NicT_/an-optimal-trade-a374064fda91