topic Details about robust standard deviation from "Distribution" module? in Discussions

Details about robust standard deviation from "Distribution" module?

jennyli — Thu, 05 Dec 2013 00:07:06 GMT

The JMP documents guide me to the book by Huber & Ronchetti (2009). But it's still not clear for me how to calculate the robust standard deviation.

Thanks!

Re: Details about robust standard deviation from "Distribution" module?

vkessler — Mon, 20 Jul 2020 15:05:22 GMT

I´m also a bit puzzeld about the robust Standard Deviation in the Distribution Platform.

As far as i´m concerned, the robust standard deviation is someting like IQR/1.35. This is certainly not the case here:

Can someone explain to me, how 2E19 should be robust, if IQR is 8E-12 and median is 2E-10??

Thanks!

Re: Details about robust standard deviation from "Distribution" module?

tonya_mauldin — Mon, 20 Jul 2020 17:36:18 GMT

JMP employs the same method as RobustReg which is part of SAS. Details can be found in the RobustReg documentation in the section titled "Algorithm".

https://support.sas.com/documentation/onlinedoc/stat/142/rreg.pdf

This is page 8184 in the upper left corner and page 42 in the PDF document.

Re: Details about robust standard deviation from "Distribution" module?

vkessler — Tue, 21 Jul 2020 19:10:01 GMT

Thanks for the clarification.

However, I will stick to to the simple IQR/1.35 calculation, since the RobustReg procedure may return misleading results, if there are extreme outliers. That is at least the case for our data sets.