Interdecile range

In statistics, the interdecile range is the difference between the first and the ninth deciles (10% and 90%). The interdecile range is a measure of statistical dispersion of the values in a set of data, similar to the range and the interquartile range, and can be computed from the (non-parametric) seven-number summary. Despite its simplicity, the interdecile range of a sample drawn from a normal distribution can be divided by 2.56 to give a reasonably efficient estimator of the standard deviation of a normal distribution. This is derived from the fact that the lower (respectively upper) decile of a normal distribution with arbitrary variance is equal to the mean minus (respectively, plus) 1.28 times the standard deviation. A more efficient estimator is given by instead taking the 7% trimmed range (the difference between the 7th and 93rd percentiles) and dividing by 3 (corresponding to 86% of the data falling within ±1.5 standard deviations of the mean in a normal distribution); this yields an estimator having about 65% efficiency. Analogous measures of location are given by the median, midhinge, and trimean (or statistics based on nearby points).

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Robust measures of scale

In statistics, robust measures of scale are methods that quantify the statistical dispersion in a sample of numerical data while resisting outliers. The most common such robust statistics are the interquartile range (IQR) and the median absolute deviation (MAD). These are contrasted with conventional or non-robust measures of scale, such as sample standard deviation, which are greatly influenced by outliers.

L-estimator

In statistics, an L-estimator is an estimator which is a linear combination of order statistics of the measurements (which is also called an L-statistic). This can be as little as a single point, as in the median (of an odd number of values), or as many as all points, as in the mean. The main benefits of L-estimators are that they are often extremely simple, and often robust statistics: assuming sorted data, they are very easy to calculate and interpret, and are often resistant to outliers.

Trimmed estimator

In statistics, a trimmed estimator is an estimator derived from another estimator by excluding some of the extreme values, a process called truncation. This is generally done to obtain a more robust statistic, and the extreme values are considered outliers. Trimmed estimators also often have higher efficiency for mixture distributions and heavy-tailed distributions than the corresponding untrimmed estimator, at the cost of lower efficiency for other distributions, such as the normal distribution.

Statistiques exploratoires : Principes fondamentaux de l'analyse des données MATH-234(a): Probability and statistics

Couvre les bases des statistiques exploratoires, y compris les variables, les quantiles, la tendance centrale, la dispersion, les valeurs aberrantes et la robustesse.