Robust forecasting with exponential and holt-winters smoothing

  title={Robust forecasting with exponential and holt-winters smoothing},
  author={Sarah Gelper and Roland Fried and Christophe Croux},
Robust versions of the exponential and Holt–Winters smoothing method for forecasting are presented. They are suitable for forecasting univariate time series in the presence of outliers. The robust exponential and Holt–Winters smoothing methods are presented as recursive updating schemes that apply the standard technique to pre-cleaned data. Both the update equation and the selection of the smoothing parameters are robustifi ed. A simulation study compares the robust and classical forecasts. The… CONTINUE READING

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