Elementary and Robust Distribution Shape Analysis via Mean Absolute Deviations and Quantile-Based Quadrature Approximations

In both experimental and theoretical analyses of data, we often look to select a set of simple components that can be combined to create an appropriate model for the data. A convenient way to do this is to use quantile functions that can be added or transformed to obtain new distributions. In this work, we connect quantile statistics and mean absolute deviations (MADs) by deriving a general class of MAD-based shape metrics expressed as integrals of the quantile function, with a direct geometric interpretation. Our approach is applicable to distributions with finite mean that include many of the commonly used distributions, including those without a variance, such as the Pareto. When simple midpoint quadrature is used, the proposed metrics recover widely used quantile-shape metrics, including the interquartile range, Galton skewness, and Moore’s octile kurtosis as special cases. We further propose a C-Trapezoid quadrature approximation that combines cubic polynomial endpoint extrapolation with trapezoidal integration, achieving approximation errors that are significantly lower than those of the midpoint approximation for many common distributions. The proposed approximation provides simple-to-compute formulas for shape analysis and yields closed-form, non-iterative parameter-estimation formulas. These formulas are easy to compute and interpret, and they are applicable to a wide class of distributions, including those without an explicit cumulative distribution function or some with heavy tails. Unlike maximum likelihood estimation, the proposed method is more robust and has simple geometric interpretation. We illustrate the methodology with two detailed case studies. The proposed approach gives a simple way to quickly assess distributional shape without any specialized tools.