Statistical dispersion - Wikipedia https://en.wikipedia.

org/wiki/Statistical_dispersion

From Wikipedia, the free encyclopedia

In statistics, dispersion (also called variability, scatter, or spread) is the extent to which a distribution is
stretched or squeezed.[1] Common examples of measures of statistical dispersion are the variance, standard
deviation, and interquartile range.

Dispersion is contrasted with location or central tendency, and together they are the most used properties of
distributions.

1 Measures
2 Sources
3 A partial ordering of dispersion
4 See also
5 References

A measure of statistical dispersion is a nonnegative real number that is zero if all the data are the same and
increases as the data become more diverse.

Most measures of dispersion have the same units as the quantity being measured. In other words, if the
measurements are in metres or seconds, so is the measure of dispersion. Examples of dispersion measures
include:

Standard deviation
Interquartile range (IQR)
Range
Mean absolute difference (also known as Gini mean absolute difference)
Median absolute deviation (MAD)
Average absolute deviation (or simply called average deviation)
Distance standard deviation

These are frequently used (together with scale factors) as estimators of scale parameters, in which capacity they
are called estimates of scale. Robust measures of scale are those unaffected by a small number of outliers, and
include the IQR and MAD.

All the above measures of statistical dispersion have the useful property that they are location-invariant and
linear in scale. This means that if a random variable X has a dispersion of SX then a linear transformation
Y = aX + b for real a and b should have dispersion SY = |a|SX, where |a| is the absolute value of a, that is, ignores
a preceding negative sign .

Other measures of dispersion are dimensionless. In other words, they have no units even if the variable itself
has units. These include:

1 of 3 10/4/2017 7:13 PM
Statistical dispersion - Wikipedia https://en.wikipedia.org/wiki/Statistical_dispersion

Coefficient of variation
Quartile coefficient of dispersion
Relative mean difference, equal to twice the Gini coefficient
Entropy: While the entropy of a discrete variable is location-invariant and scale-independent, and
therefore not a measure of dispersion in the above sense, the entropy of a continuous variable is location
invariant and additive in scale: If Hz is the entropy of continuous variable z and y=ax+b, then
Hy=Hx+log(a).

There are other measures of dispersion:

Variance (the square of the standard deviation) location-invariant but not linear in scale.
Variance-to-mean ratio mostly used for count data when the term coefficient of dispersion is used and
when this ratio is dimensionless, as count data are themselves dimensionless, not otherwise.

Some measures of dispersion have specialized purposes, among them the Allan variance and the Hadamard
variance.

For categorical variables, it is less common to measure dispersion by a single number; see qualitative variation.
One measure that does so is the discrete entropy.

In the physical sciences, such variability may result from random measurement errors: instrument measurements
are often not perfectly precise, i.e., reproducible, and there is additional inter-rater variability in interpreting and
reporting the measured results. One may assume that the quantity being measured is stable, and that the
variation between measurements is due to observational error. A system of a large number of particles is
characterized by the mean values of a relatively few number of macroscopic quantities such as temperature,
energy, and density. The standard deviation is an important measure in Fluctuation theory, which explains many
physical phenomena, including why the sky is blue.[2]

In the biological sciences, the quantity being measured is seldom unchanging and stable, and the variation
observed might additionally be intrinsic to the phenomenon: It may be due to inter-individual variability, that
is, distinct members of a population differing from each other. Also, it may be due to intra-individual
variability, that is, one and the same subject differing in tests taken at different times or in other differing
conditions. Such types of variability are also seen in the arena of manufactured products; even there, the
meticulous scientist finds variation.

In economics, finance, and other disciplines, regression analysis attempts to explain the dispersion of a
dependent variable, generally measured by its variance, using one or more independent variables each of which
itself has positive dispersion. The fraction of variance explained is called the coefficient of determination.

A mean-preserving spread (MPS) is a change from one probability distribution A to another probability
distribution B, where B is formed by spreading out one or more portions of A's probability density function
while leaving the mean (the expected value) unchanged.[3] The concept of a mean-preserving spread provides a
partial ordering of probability distributions according to their dispersions: of two probability distributions, one
may be ranked as having more dispersion than the other, or alternatively neither may be ranked as having more
dispersion.

2 of 3 10/4/2017 7:13 PM
Statistical dispersion - Wikipedia https://en.wikipedia.org/wiki/Statistical_dispersion

Average
Summary statistics
Qualitative variation
Robust measures of scale
Measurement uncertainty

1. [1] (http://www.itl.nist.gov/div898/handbook/eda/section3/eda364.htm)
2. McQuarrie, Donald A. (1976). Statistical Mechanics. NY: Harper & Row. ISBN 0-06-044366-9.
3. Rothschild, Michael; Stiglitz, Joseph (1970). "Increasing risk I: A definition". Journal of Economic
Theory. 2 (3): 225243. doi:10.1016/0022-0531(70)90038-4 (https://doi.org
/10.1016%2F0022-0531%2870%2990038-4).

Retrieved from "https://en.wikipedia.org/w/index.php?title=Statistical_dispersion&oldid=801204611"

This page was last edited on 18 September 2017, at 09:08.

Text is available under the Creative Commons Attribution-ShareAlike License; additional terms may
apply. By using this site, you agree to the Terms of Use and Privacy Policy. Wikipedia is a registered
trademark of the Wikimedia Foundation, Inc., a non-profit organization.

3 of 3 10/4/2017 7:13 PM