Bias-Reduced Estimation of Mean Absolute Deviation Around the Median
Copyright policy )Bias-Reduced Estimation of Mean Absolute Deviation Around the Median
A bias-reduced estimator is proposed for the mean absolute deviation parameter of a median regression model. A workaround is devised for the lack of smoothness in the sense conventionally required in general bias-reduced estimation. A local asymptotic normality property and a Bahadur--Kiefer representation suffice in proving the validity of the bias correction. The proposal is developed under a classical asymptotic regime but, based on simulations, it seems to work also in high-dimensional settings.
5 pages, 4 figures, submitted to Statistics & Probability Letters
- University of Udine Italy
Methodology (stat.ME), FOS: Computer and information sciences, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), Statistics - Methodology
Methodology (stat.ME), FOS: Computer and information sciences, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST), Statistics - Methodology
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