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Konno and Yamazaki (1992) propose the mean absolute deviation (MAD) model as an alternative to the mean variance (MV) model. They claim it retains all the positive features of the MV model, saves the ...
Jianqing Fan, Peter Hall, On Curve Estimation by Minimizing Mean Absolute Deviation and Its Implications, The Annals of Statistics, Vol. 22, No. 2 (Jun., 1994), pp. 867-885 ...
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