The distance standard deviation (Q85655)

The main contribution of this paper is the demonstration of the statistical properties of the empirical distance standard deviation. Namely, the robustness to outliers is established. Moreover, it is more suitable for heavy-tailed distributions comparing with commonly used mean deviation and Gini's mean difference. It is to be noted that, for multivariate random variables, the distance standard deviation summarizes the spread as a single value, which is important for many practical tasks.