For normally distributed data, the standard deviation σ and the median absolute deviation MAD are related by:
σ=Φ−1(3/4)⋅MAD≈1.4826⋅MAD,
where Φ() is the cumulative distribution function for the standard normal distribution.
Is there any similar relation for other distributions?
Answer
To address the question in comments:
I would like to know if there is a possible range of values of the constant
(I assume the question is intended to be about the median deviation from median.)
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The ratio of SD to MAD can be made arbitrarily large.
Take some distribution with a given ratio of SD to MAD. Hold the middle 50%+ϵ of the distribution fixed (which means MAD is unchanged). Move the tails out further. SD increases. Keep moving it beyond any given finite bound.
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The ratio of SD to MAD can easily be made as near to √12 as desired by (for example) putting 25%+ϵ at ±1 and 50%−2ϵ at 0.
I think that would be as small as it goes.
Attribution
Source : Link , Question Author : vic , Answer Author : Community