Bias-reduced estimation of mean absolute deviation around the median
Methodology
2023-05-04 v1 Statistics Theory
Statistics Theory
Abstract
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.
Keywords
Cite
@article{arxiv.2210.03622,
title = {Bias-reduced estimation of mean absolute deviation around the median},
author = {Michele Lambardi di San Miniato},
journal= {arXiv preprint arXiv:2210.03622},
year = {2023}
}
Comments
5 pages, 4 figures, submitted to Statistics & Probability Letters