Robust forecasting with exponential and holt-winters smoothing

@inproceedings{Gelper2008RobustFW,
  title={Robust forecasting with exponential and holt-winters smoothing},
  author={Sarah Gelper and Roland Fried and Christophe Croux},
  year={2008}
}
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

7 Figures & Tables

Topics

Statistics

01020201020112012201320142015201620172018
Citations per Year

99 Citations

Semantic Scholar estimates that this publication has 99 citations based on the available data.

See our FAQ for additional information.