Average absolute deviation

The average absolute deviation (AAD) of a data set is the average of the absolute deviations from a
central point. It is a summary statistic of statistical dispersion or variability. In the general form, the central
point can be a mean, median, mode, or the result of any other measure of central tendency or any reference
value related to the given data set. AAD includes the mean absolute deviation and the median absolute
deviation (both abbreviated as MAD).

Contents
Measures of dispersion
Mean absolute deviation around a central point
Mean absolute deviation around the mean
Mean absolute deviation around the median
Maximum absolute deviation
Minimization
Estimation
See also
References
External links

Measures of dispersion
Several measures of statistical dispersion are defined in terms of the absolute deviation. The term "average
absolute deviation" does not uniquely identify a measure of statistical dispersion, as there are several
measures that can be used to measure absolute deviations, and there are several measures of central
tendency that can be used as well. Thus, to uniquely identify the absolute deviation it is necessary to
specify both the measure of deviation and the measure of central tendency. Unfortunately, the statistical
literature has not yet adopted a standard notation, as both the mean absolute deviation around the mean and
the median absolute deviation around the median have been denoted by their initials "MAD" in the
literature, which may lead to confusion, since in general, they may have values considerably different from
each other.

Mean absolute deviation around a central point

The mean absolute deviation of a set {x1 , x2 , ..., xn } is

The choice of measure of central tendency, , has a marked effect on the value of the mean deviation.
For example, for the data set {2, 2, 3, 4, 14}:
 Measure of central tendency Mean absolute deviation

Mean = 5

Median = 3

Mode = 2

The mean absolute deviation from the median is less than or equal to the mean absolute deviation from the
mean. In fact, the mean absolute deviation from the median is always less than or equal to the mean
absolute deviation from any other fixed number.

The mean absolute deviation from the mean is less than or equal to the standard deviation; one way of
proving this relies on Jensen's inequality.

Proof
Jensen's inequality is ,where φ is a convex function, this
implies for that:

Since both sides are positive, and the square root is a monotonically increasing
function in the positive domain:

For a general case of this statement, see Hölder's inequality.

For the normal distribution, the ratio of mean absolute deviation to standard deviation is
. Thus if X is a normally distributed random variable with expected value 0 then,
see Geary (1935):[1]

In other words, for a normal distribution, mean absolute deviation is about 0.8 times the standard deviation.
However, in-sample measurements deliver values of the ratio of mean average deviation / standard
deviation for a given Gaussian sample n with the following bounds: , with a bias for small n.[2]

Mean absolute deviation around the mean

The mean absolute deviation (MAD), also referred to as the "mean deviation" or sometimes "average
absolute deviation", is the mean of the data's absolute deviations around the data's mean: the average
(absolute) distance from the mean. "Average absolute deviation" can refer to either this usage, or to the
general form with respect to a specified central point (see above).

MAD has been proposed to be used in place of standard deviation since it corresponds better to real life.[3]
Because the MAD is a simpler measure of variability than the standard deviation, it can be useful in school
teaching.[4][5]

This method's forecast accuracy is very closely related to the mean squared error (MSE) method which is
just the average squared error of the forecasts. Although these methods are very closely related, MAD is
more commonly used because it is both easier to compute (avoiding the need for squaring)[6] and easier to
understand.[7]

Mean absolute deviation around the median

The median absolute deviation (MAD median) is the median of the absolute deviation from the median.
It is a robust estimator of dispersion.

The MAD median offers a direct measure of the scale of a random variable around its median

This is the maximum likelihood estimator of the scale parameter of the Laplace distribution. For the
normal distribution we have . Since the median minimizes the average
absolute distance, we have and .

By using the general dispersion function, Habib (2011) defined MAD about median as

where the indicator function is

This representation allows for obtaining MAD median correlation coefficients.

For the example {2, 2, 3, 4, 14}: 3 is the median, so the absolute deviations from the median are {1, 1, 0, 1,
11} (reordered as {0, 1, 1, 1, 11}) with a median of 1, in this case unaffected by the value of the outlier 14,
so the median absolute deviation (also called MAD) is 1.

Maximum absolute deviation

The maximum absolute deviation around an arbitrary point is the maximum of the absolute deviations of
a sample from that point. While not strictly a measure of central tendency, the maximum absolute deviation
can be found using the formula for the average absolute deviation as above with ,
where is the sample maximum.

Minimization
The measures of statistical dispersion derived from absolute deviation characterize various measures of
central tendency as minimizing dispersion: The median is the measure of central tendency most associated
with the absolute deviation. Some location parameters can be compared as follows:

L2 norm statistics: the mean minimizes the mean squared error

L1 norm statistics: the median minimizes average absolute deviation,
L∞ norm statistics: the mid-range minimizes the maximum absolute deviation
trimmed L∞ norm statistics: for example, the midhinge (average of first and third quartiles)
which minimizes the median absolute deviation of the whole distribution, also minimizes the
maximum absolute deviation of the distribution after the top and bottom 25% have been
trimmed off.

Estimation
The mean absolute deviation of a sample is a biased estimator of
the mean absolute deviation of the population. In order for the
absolute deviation to be an unbiased estimator, the expected value
(average) of all the sample absolute deviations must equal the
population absolute deviation. However, it does not. For the
population 1,2,3 both the population absolute deviation about the
median and the population absolute deviation about the mean are
2/3. The average of all the sample absolute deviations about the
mean of size 3 that can be drawn from the population is 44/81,
while the average of all the sample absolute deviations about the
median is 4/9. Therefore, the absolute deviation is a biased estimator.

However, this argument is based on the notion of mean-unbiasedness. Each measure of location has its own
form of unbiasedness (see entry on biased estimator). The relevant form of unbiasedness here is median
unbiasedness.

See also
Deviation (statistics)
Median absolute deviation
Squared deviations
Least absolute deviations
Errors
Mean absolute error
Mean absolute percentage error

Mean difference

Average rectified value

References
1. Geary, R. C. (1935). The ratio of the mean deviation to the standard deviation as a test of
normality. Biometrika, 27(3/4), 310–332.
 2. See also Geary's 1936 and 1946 papers: Geary, R. C. (1936). Moments of the ratio of the
mean deviation to the standard deviation for normal samples. Biometrika, 28(3/4), 295–307
and Geary, R. C. (1947). Testing for normality. Biometrika, 34(3/4), 209–242.
3. Taleb, Nassim Nicholas (2014). "What scientific idea is ready for retirement?" (https://web.ar
chive.org/web/20140116031136/http://www.edge.org/response-detail/25401). Edge.
Archived from the original on 2014-01-16. Retrieved 2014-01-16.
4. Kader, Gary (March 1999). "Means and MADS" (http://www.learner.org/courses/learningmat
h/data/overview/readinglist.html). Mathematics Teaching in the Middle School. 4 (6): 398–
403. Archived (https://web.archive.org/web/20130518092027/http://learner.org/courses/learn
ingmath/data/overview/readinglist.html) from the original on 2013-05-18. Retrieved
20 February 2013.
5. Franklin, Christine, Gary Kader, Denise Mewborn, Jerry Moreno, Roxy Peck, Mike Perry, and
Richard Scheaffer (2007). Guidelines for Assessment and Instruction in Statistics Education
(http://www.amstat.org/education/gaise/GAISEPreK-12_Full.pdf) (PDF). American Statistical
Association. ISBN 978-0-9791747-1-1. Archived (https://web.archive.org/web/20130307004
604/http://www.amstat.org/education/gaise/GAISEPreK-12_Full.pdf) (PDF) from the original
on 2013-03-07. Retrieved 2013-02-20.
6. Nahmias, Steven; Olsen, Tava Lennon (2015), Production and Operations Analysis (https://b
ooks.google.com/books?id=SIsoBgAAQBAJ&pg=PA62) (7th ed.), Waveland Press, p. 62,
ISBN 9781478628248, "MAD is often the preferred method of measuring the forecast error
because it does not require squaring."
7. Stadtler, Hartmut; Kilger, Christoph; Meyr, Herbert, eds. (2014), Supply Chain Management
and Advanced Planning: Concepts, Models, Software, and Case Studies (https://books.goog
le.com/books?id=iDhpBQAAQBAJ&pg=PA143), Springer Texts in Business and Economics
(5th ed.), Springer, p. 143, ISBN 9783642553097, "the meaning of the MAD is easier to
interpret".

External links
Advantages of the mean absolute deviation (http://www.leeds.ac.uk/educol/documents/0000
3759.htm)

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