Robust Statistics - Examples

Examples

  • The median is a robust measure of central tendency, while the mean is not; for instance, the median has a breakdown point of 50%, while the mean has a breakdown point of 0% (a single large sample can throw it off).
  • The median absolute deviation and interquartile range are robust measures of statistical dispersion, while the standard deviation and range are not.

Trimmed estimators and Winsorised estimators are general methods to make statistics more robust. L-estimators are a general class of simple statistics, often robust, while M-estimators are a general class of robust statistics, and are now the preferred solution, though they can be quite involved to calculate.

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