The mean and median absolute deviations (Q1600521)

The authors give a comprehensive survey of properties of mean and median absolute deviations of a distribution. Let \(X_1,X_2,\dots, X_n\) be independent and identically distributed random variables and \(\overline X_n\) be the sample mean. Let \(S^2_n= n^{-1} \sum^n_{i=1} (X_i- \overline X_n)^2\) and \(d_n= n^{-1} \sum^n_{i=1}|X_i-\overline X_n|\). Some basic results on the sampling distributions of \(d_n\) are discussed and a comparative study on the advantages in using \(S_n\) and \(d_n\) is made.