Confidence Intervals for Median Absolute Deviations
A function for the median absolute deviation is included in base R, mad, but there's no function for calculating confidence intervals. Arachchige/Prendergast introduce interval estimators of the MAD to make reliable inferences for dispersion for a single population and ratios and differences of MADs for comparing two populations.
MADCI(x, y = NULL, two.samp.diff = TRUE, gld.est = "TM",
conf.level = 0.95, sides = c("two.sided","left","right"),
na.rm = FALSE, ...)x |
a (non-empty) numeric vector of data values. |
y |
a second (non-empty) numeric vector of data values. |
two.samp.diff |
logical, defining if the confidence intervals for a difference of x and y should be calculated. |
gld.est |
type of gld estimator. |
conf.level |
confidence level of the interval |
sides |
a character string specifying the side of the confidence interval, must be one of |
na.rm |
logical. Should missing values be removed? Defaults to |
... |
further arguments, not used here |
a numeric vector with 3 elements:
mad |
median absolute deviation |
lwr.ci |
lower bound of the confidence interval |
upr.ci |
upper bound of the confidence interval |
Arachchige Chandima N. P. G., Prendergast Luke A., Andri Signorell <andri@signorell.net> (only interface)
Arachchige Chandima N. P. G., Prendergast Luke A. (2019) Confidence intervals for median absolute deviations, arXiv:1910.00229 [math.ST]
x <- rlnorm(100) y <- rlnorm(200, meanlog=1.2) MADCI(x) # single sample MADCI(x, y) # two sample difference MADCI(x, y, two.samp.diff = FALSE) # two sample squared ratio
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