On the asymptotic distribution of the mean absolute deviation about the mean

2014/06/16 by Johan Segers, Segers, Johan
Mathematics · #62G05 #62G20 #FOS: Computer and information sciences #Methodology (stat.ME) #msc:62G05 #msc:62G20 #stat.ME

paper · pdf · doi:10.48550/arxiv.1406.4151

11 pages

arxiv created 2014/06/16 · arxiv updated 2014/06/18

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.

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