The asymptotics of the least trimmed absolute deviations (LTAD) estimator. (English) Zbl 0797.62029

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.


62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
62G35 Nonparametric robustness
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