Coefficient of variation

In probability theory and statistics, the coefficient of variation (CV) is a normalized measure of dispersion of a probability distribution. It is also known as unitized risk or the variation coefficient. The absolute value of the CV is sometimes known as relative standard deviation (RSD), which is expressed as a %. CV should not be used interchangeably with RSD (i.e. one term should be used consistently).

Contents

Definition

The coefficient of variation (CV) is defined as the ratio of the standard deviation \ \sigma to the mean \ \mu :

c_v = \frac{\sigma}{\mu}

which is the inverse of the signal-to-noise ratio.

The coefficient of variation should be computed only for data measured on a ratio scale, which are measurements that can only take non-negative values. The coefficient of variation may not have any meaning for data on an interval scale.[1]

For example, most temperature scales are interval scales (e.g. Celsius, Fahrenheit etc.), they can take both positive and negative values. The Kelvin scale has an absolute null value, and no negative values can naturally occur. Hence, the Kelvin scale is a ratio scale. While the standard deviation (SD) can be derived on both the Kelvin and the Celsius scale (with both leading to the same SDs), the CV could only be derived for the Kelvin scale.

Often, laboratory values that are measured based on chromatographic methods are log-normally distributed. In this case, the CV would be constant over a large range of measurements, while SDs would vary depending on the actual range that has been measured.

The CV is sometimes expressed as a percent, in which case the CV is multiplied by 100%.[2]

Comparison to standard deviation

Advantages

The coefficient of variation is useful because the standard deviation of data must always be understood in the context of the mean of the data. Instead, the actual value of the CV is independent of the unit in which the measurement has been taken, so it is a dimensionless number. For comparison between data sets with different units or widely different means, one should use the coefficient of variation instead of the standard deviation.

Disadvantages

Applications

The coefficient of variation is also common in applied probability fields such as renewal theory, queueing theory, and reliability theory. In these fields, the exponential distribution is often more important than the normal distribution. The standard deviation of an exponential distribution is equal to its mean, so its coefficient of variation is equal to 1. Distributions with CV < 1 (such as an Erlang distribution) are considered low-variance, while those with CV > 1 (such as a hyper-exponential distribution) are considered high-variance. Some formulas in these fields are expressed using the squared coefficient of variation, often abbreviated SCV. In modeling, a variation of the CV is the CV(RMSD). Essentially the CV(RMSD) replaces the standard deviation term with the Root Mean Square Deviation (RMSD).

Distribution

Provided that negative and small positive values of the sample mean occur with negligible frequency, the probability distribution of the coefficient of variation for a sample of size n has been shown by Hendricks and Robey [3] to be

dF_{c_v}=\frac{2}{\pi^{1/2}\Gamma\Big(\frac{n-1}{2}\Big)}e^{-\frac{n}{2\frac{\sigma}{\mu}^2}\frac{{c_v}^2}{1%2B{c_v}^2}}\frac{{c_v}^{n-2}}{(1%2B{c_v}^2)^{n/2}}\left.\sideset{}{^\prime}\sum_{i=0}^{n-1}\frac{(n-1)!\Gamma\Big(\frac{n-i}{2}\Big)}{(n-1-i)!i!}\frac{n^{i/2}}{2^{i/2}(\frac{\sigma}{\mu})^i}\frac{1}{(1%2B{c_v}^2)^{i/2}}dc_v\quad\right|\quad n-1-i~\mbox{is even}

where the symbol \sideset{}{^\prime}\sum indicates that the summation is over only even values of n-1-i.

This is useful, for instance, in the construction of hypothesis tests or confidence intervals.

Similar ratios

Standardized moments are similar ratios, {\mu_k}/{\sigma^k}, which are also dimensionless and scale invariant. The variance-to-mean ratio, \sigma^2/\mu, is another similar ratio, but is not dimensionless, and hence not scale invariant. See Normalization (statistics) for further ratios.

In signal processing, particularly image processing, the reciprocal ratio \mu/\sigma is referred to as the signal to noise ratio.

References

  1. ^ "What is the difference between ordinal, interval and ratio variables? Why should I care?". GraphPad Software Inc. http://www.graphpad.com/faq/viewfaq.cfm?faq=1089. Retrieved 2008-02-22. 
  2. ^ http://mathcentral.uregina.ca/QQ/database/QQ.09.01/carmen1.html
  3. ^ Walter A. Hendricks and Kate W. Robey (1936) "The Sampling Distribution of the Coefficient of Variation", Annals of Mathematical Statistics, 7 (3), 129–132.

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Continuous data
Location
Dispersion
Shape
Count data
Summary tables
Dependence
Statistical graphics