On the asymptotic distribution of the mean absolute deviation about the mean
Methodology
2014-06-18 v1
Abstract
The mean absolute deviation about the mean is an alternative to the standard deviation for measuring dispersion in a sample or in a population. For stationary, ergodic time series with a finite first moment, an asymptotic expansion for the sample mean absolute deviation is proposed. The expansion yields the asymptotic distribution of the sample mean absolute deviation under a wide range of settings, allowing for serial dependence or an infinite second moment.
Keywords
Cite
@article{arxiv.1406.4151,
title = {On the asymptotic distribution of the mean absolute deviation about the mean},
author = {Johan Segers},
journal= {arXiv preprint arXiv:1406.4151},
year = {2014}
}
Comments
11 pages