The exact finite-sample distribution of the median absolute deviation about the median of continuous random variables

In this work, the exact finite-sample distribution of the median absolute deviation about the median (MAD) of continuous random variables is derived. The main results are used for providing exact confidence intervals for the scale parameter of a location–scale model, which are robust to the presence of outliers.

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Year of publication:	2013
Authors:	Nagatsuka, Hideki ; Kawakami, Hiroshi ; Kamakura, Toshinari ; Yamamoto, Hisashi
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 4, p. 999-1005
Publisher:	Elsevier
Subject:	Median absolute deviation \| Median \| Robust statistics \| Exact finite-sample distribution \| Confidence interval

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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