On the asymptotic distribution of the mean absolute deviation about the mean
(2014) , 11 pages
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- 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. Key words: central limit theorem; dispersion; ergodicity; regular variation; stable distribution; strong mixing.
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Citations
Segers, J. (2014). On the asymptotic distribution of the mean absolute deviation about the mean (ISBA Discussion Paper 2014/26). https://hdl.handle.net/2078.5/199150