Robust measures of dispersion (multivariate)

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Robust measures of dispersion (multivariate)
Message posted by Erica Moodie on May 3, 2000 at 12:00 AM (ET)

Many multivariate, robust measures of location exist (eg. Component-wise, half-space, Oja's, etc). What robust measures of dispersion exist other than the Median Absolute Deviation? Where can I learn more about this?

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Re: Robust measures of dispersion (multivariate)
Message posted by Nancy Diehl on May 15, 2000 at 12:00 AM (ET)

There are four measures that summarize overall accuracy that I am aware of:
There's mean absolute deviation(MAD), Mean Square Error (MSE), Root Mean Square Error RMSE) and the
Mean Abosolute Percentage Error (MAPE). The basic difference between MAD and
MSE is that by squaring the amount of error (as in the MSE), you are
penalized more heavily for extreme errors than with MAD. These measure are
generally used in the selection of a good forecasting model. You can find more
information out about these measures if you look for texts on forecasting models.

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