Robust forecasting with exponential and Holt-Winters smoothing

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 t...

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Veröffentlicht in:	Journal of forecasting 2010-04, Vol.29 (3), p.285-300
Hauptverfasser:	Gelper, Sarah, Fried, Roland, Croux, Christophe
Format:	Artikel
Sprache:	eng
Schlagworte:	forecasting Forecasting techniques Holt-Winters smoothing Parameter estimation robust methods Simulation Studies Time series
Online-Zugang:	Volltext
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