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Conditional median absolute deviation |
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| Abstract: | We introduce conditional median absolute deviation to characterize how the local variability of one quantitative random variable varies with another one. A two-step estimation procedure is proposed and the resultant estimator possesses an adaptiveness property. Simulation indicates that this estimator is much more efficient than its competitors such as the conditional semi-interquartile range. |
| Keywords: | adaptiveness least absolute deviation median absolute deviation quantile regression robust estimation semi-interquartile range |