Robust Methods

Robust Outlier Detection with Median Absolute Deviation

Outlier detection often begins with a rule such as “flag values more than three standard deviations from the mean.” That works reasonably well for approximately normal data without severe contamination, but the same extreme observations you want to detect can move both the mean and the standard deviation. Median absolute deviation, usually abbreviated MAD, provides a more robust alternative. Why mean and standard deviation can be fragile Consider response times in milliseconds: