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Robust methods in exponential smoothing. (English) Zbl 0874.93090
The paper investigates the robust modification of exponential smoothing with additive outliers. Motivated by the recursive methods described by T. Cipra [“Robust exponential smoothing”, J. Forecasting 11, 57-69 (1992)], the author applies the \(M\)-estimates approach to perform the robust modification. Simple and double exponential smoothing procedures are discussed in detail, and a robust version of Holt’s method is given.
Reviewer: N.Curteanu (Iaşi)
MSC:
93E14 Data smoothing in stochastic control theory
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References:
[1] B. Abraham, J. Ledolter: Statistical Methods for Forecasting. Wiley, New York 1983. · Zbl 0587.62175
[2] T. Cipra: Robust exponential smoothing. J. Forecasting 11 (1992), 57-69.
[3] R. Dutter, N. Stockinger: Robust time series analysis: a survey. Supplement to Kybernetika 23 (1987). · Zbl 0652.62088 · eudml:28110
[4] H. Robbins, D. Siegmund: A convergent theorem for nonnegative almost supermartingales and some applications. Optimizing Methods in Statistics (J. S. Rustagi, Academic Press, New York 1971, pp. 233-257. · Zbl 0286.60025
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