A Robust Moment System Based on Absolute Deviations and Quantile Slicing
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arXiv
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| Format: | Preprint |
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2026
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| _version_ | 1866918416617570304 |
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| author | Elamir, Elsayed |
| author_facet | Elamir, Elsayed |
| contents | This study develops two robust, quantile-sliced moment systems, mean and median absolute deviation (MAD and MedAD moments), to serve as foundational tools in parametric modeling, statistical inference, and describing distributional location, scale, skewness, and tail behavior in settings where classical moments and L-moments fail. MAD moments use block-wise absolute deviations around the median and exist whenever the mean is finite, while MedAD moments replace expectations with medians, ensuring existence for all distributions, including heavy-tailed cases with undefined mean or variance. The systems exhibit strong consistency, slice-based robustness, and bounded influence. The results indicate that MAD and L moment ratios are efficient for light to moderate tails, whereas MedAD ratios remain uniquely stable when higher moments do not exist. Applications to Cauchy parameter estimation highlight the practical value of MedAD estimators as simple, fully robust alternatives to likelihood-based approaches. Together, these systems offer a unified, median-anchored framework for reliable distributional inference under heavy tails and contamination. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2603_27873 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | A Robust Moment System Based on Absolute Deviations and Quantile Slicing Elamir, Elsayed Methodology 62G30, 62G32 This study develops two robust, quantile-sliced moment systems, mean and median absolute deviation (MAD and MedAD moments), to serve as foundational tools in parametric modeling, statistical inference, and describing distributional location, scale, skewness, and tail behavior in settings where classical moments and L-moments fail. MAD moments use block-wise absolute deviations around the median and exist whenever the mean is finite, while MedAD moments replace expectations with medians, ensuring existence for all distributions, including heavy-tailed cases with undefined mean or variance. The systems exhibit strong consistency, slice-based robustness, and bounded influence. The results indicate that MAD and L moment ratios are efficient for light to moderate tails, whereas MedAD ratios remain uniquely stable when higher moments do not exist. Applications to Cauchy parameter estimation highlight the practical value of MedAD estimators as simple, fully robust alternatives to likelihood-based approaches. Together, these systems offer a unified, median-anchored framework for reliable distributional inference under heavy tails and contamination. |
| title | A Robust Moment System Based on Absolute Deviations and Quantile Slicing |
| topic | Methodology 62G30, 62G32 |
| url | https://arxiv.org/abs/2603.27873 |