python - Where can I find mad (mean absolute deviation) in scipy?

Question

It seems scipy once provided a function mad to calculate the mean absolute deviation for a set of numbers:

http://projects.scipy.org/scipy/browser/trunk/scipy/stats/models/utils.py?rev=3473

However, I can not find it anywhere in current versions of scipy. Of course it is possible to just copy the old code from repository but I prefer to use scipy's version. Where can I find it, or has it been replaced or removed?

question from:https://stackoverflow.com/questions/8930370/where-can-i-find-mad-mean-absolute-deviation-in-scipy

Answer 1

The current version of statsmodels has mad in statsmodels.robust:

>>> import numpy as np
>>> from statsmodels import robust
>>> a = np.matrix( [
...     [ 80, 76, 77, 78, 79, 81, 76, 77, 79, 84, 75, 79, 76, 78 ],
...     [ 66, 69, 76, 72, 79, 77, 74, 77, 71, 79, 74, 66, 67, 73 ]
...  ], dtype=float )
>>> robust.mad(a, axis=1)
array([ 2.22390333,  5.18910776])

Note that by default this computes the robust estimate of the standard deviation assuming a normal distribution by scaling the result a scaling factor; from help:

Signature: robust.mad(a, 
                      c=0.67448975019608171, 
                      axis=0, 
                      center=<function median at 0x10ba6e5f0>)

The version in R makes a similar normalization. If you don't want this, obviously just set c=1.

(An earlier comment mentioned this being in statsmodels.robust.scale. The implementation is in statsmodels/robust/scale.py (see github) but the robust package does not export scale, rather it exports the public functions in scale.py explicitly.)