The asymptotics of the least trimmed absolute deviations (LTAD) estimator (Q1324563)
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scientific article; zbMATH DE number 571649
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| English | The asymptotics of the least trimmed absolute deviations (LTAD) estimator |
scientific article; zbMATH DE number 571649 |
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The asymptotics of the least trimmed absolute deviations (LTAD) estimator (English)
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27 October 1994
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This paper studied the least trimmed absolute deviations (LTAD) estimator of location. The LTAD estimator is defined by minimizing the least sum of absolute deviations on all possible half-samples. Consistency and asymptotic normality of the LTAD are derived. A comparison of asymptotic variances of the LTAD, Rousseeuw's least median of squares (LMS) and LTS are carried out.
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least trimmed absolute deviations estimator of location
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consistency
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LTAD estimator
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least sum of absolute deviations
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half-samples
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asymptotic normality
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comparison of asymptotic variances
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Rousseeuw's least median of squares
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0.8366371989250183
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0.8210346102714539
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0.8062748312950134
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0.7977634072303772
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0.7954388856887817
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