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You point out a real problem with the article. The given rationale for (.)^2 vs. |.| is just wacko ("there is obviously more variation in the second data set t
by mturmon 16y ago
You point out a real problem with the article. The given rationale for (.)^2 vs. |.| is just wacko ("there is obviously more variation in the second data set than the first").
The reason it's mistaken is, there are other examples, typically with just one or a handful of outliers, in which the SD is "obviously" too high compared to mean absolute deviation.
Futhermore, these type of examples are common in practice, so the SD is problematic to use if you have outliers.
Often, in robust statistics, the Median Absolute Deviation (which is conventionally labeled MAD, http://en.wikipedia.org/wiki/Median_absolute_deviation http://en.wikipedia.org/wiki/Median_absolute_deviation) is used. As an estimate of scale, it's much more robust to outliers. But of course, you can't differentiate it!