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, ...)a numeric vector with 3 elements:
median absolute deviation
lower bound of the confidence interval
upper bound of the confidence interval
a (non-empty) numeric vector of data values.
a second (non-empty) numeric vector of data values.
logical, defining if the confidence intervals for a difference of x and y should be calculated.
type of gld estimator.
confidence level of the interval
a character string specifying the side of the confidence interval, must be one of "two.sided" (default), "left" or "right". You can specify just the initial letter. "left" would be analogue to a hypothesis of "greater" in a t.test.
logical. Should missing values be removed? Defaults to FALSE.
further arguments, not used here
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]
mad, MAD
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
Run the code above in your browser using DataLab