Median absolute deviation (MAD) and SD of different distributions

For normally distributed data, the standard deviation σ and the median absolute deviation MAD are related by:

σ=Φ1(3/4)MAD1.4826MAD,

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.)

  1. 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.

  2. 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.

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Attribution
Source : Link , Question Author : vic , Answer Author : Community

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