Statistical dispersion


In statistics, dispersion is the extent to which a distribution is stretched or squeezed. 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.

Measures

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:
These are frequently used 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:
There are other measures of dispersion:
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.

A partial ordering of dispersion

A mean-preserving spread 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 unchanged. 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.