Population median absolute deviation.

From: ivo@xxxxxxxx
Date: 4 Aug 2005 09:23:03 -0700

Hi,

I have computed the MAD_i (median absolute deviation) of some i=1:N set
of samples (each of say 1000 data points). How do I best calculate the
overall population equivalent out of it?

Do I:

1. Take the mean of the MAD's, so 1/N sum(MAD_i)
2. Take the median of the MAD's, so median(MAD_i)
3. Pool all the samples, and then calculate the MAD over all data?

Doing each gives me slightly different estimates of the population MAD.

1. 0.045
2. 0.016
3. 0.035

You see, the median of the MAD is most strict (nr.2) and the mean MAD
(nr.1) the weakest. Hope you can help. I can't decide which one would
be best.

Ivo

.

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