The asymptotics of the least trimmed absolute deviations (LTAD) estimator

Mara Tableman

Statistics & Probability Letters, 1994, vol. 19, issue 5, 387-398

Abstract: The method of least trimmed absolute deviations (LTAD) is formally treated. This method, like the LMS and LTS methods of Rousseeuw (1987), uses a criterion function that is calculated over half-samples. A population analogue is defined and its properties are discussed. The asymptotic properties of the LTAD estimator are derived. It is shown to be consistent and asymtotically normal. It is also shown to be, with asymptotic certainty, the midpoint of the interval spanned by the selected half-sample. Further, it is shown how to construct a distribution-free tolerance interval for predicting the next observation. Finally, comparisons of the asymtotic variances for the LTS and LTAD are made and recommendations are given.

Keywords: Asymptotic; breakdown; point; distribution-free; least; trimmed; absolute; deviations; least; trimmed; squares; robust. (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (11)

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