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(Yay signal processing!) Skimming it now, this looks wild. Using the variance of the rank of the dataset (for a given point, how many are less than that point
by loxias 5y ago
(Yay signal processing!)
Skimming it now, this looks wild. Using the variance of the rank of the dataset (for a given point, how many are less than that point) seems... weird, and throwing out some information. The author seems legit tho, so I can't wait to try drop-in implementing this in a few things.
- mattkrause 5y agoRank-transforms are pretty common: they show up in a lot of non-parametric hypothesis tests, for example. The neat thing about ranks is that, in aggregate, they're very robust. You can make an estimate of the mean arbitrarily bad by tweaking a single data point: just send it towards +/- infinity and the mean will follow. The median, on the other hand, is barely affected by that sort of shenanigans.