Asymptotic normality of the least sum of squares of trimmed residuals estimator

Abstract

To enhance the robustness of the classic least sum of squares (LS) of the residuals estimator, Zuo (2022) introduced the least sum of squares of trimmed (LST) residuals estimator. The LST enjoys many desired properties and serves well as a robust alternative to the LS. Its asymptotic properties, including strong and root-n consistency, have been established whereas the asymptotic normality is left unaddressed. This article solves this remained problem.