MATLAB: Movmad does it consider the constant 1.4826

movmad

Hello,
just to make sure I understood it right. the built-in function of matlab called Movmad, just makes the median { abs ( Xi – X median ) } it does not multiply it by a coefficient K of 1.4826 to convert it to an unbiased estimate of standard deviation for Gaussian Data.
Thanks, Tiago

Best Answer

Read the help.
movmad computes a moving median absolute deviation.
In no place does it call that a STANDARD DEVIATION. It NEVER claims to prduce a result that is an equivalent standard deviation.
From the help:
"Each element of Y is the local median absolute deviation of the
  corresponding values of X inside the window,..."
Also:
"The median absolute deviation of a vector X is defined as 
  MEDIAN(ABS(X-MEDIAN(X)))."
There is nothing about an estimator of an equivalent standard deviation. movmad computes exactly what it claims to produce. Doing something different than what it claims, even if that is what you want or expect to see, that would be wrong.
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