swMATH ID: 17805
Software Authors: Ruben Crevits
Description: R package robets. Forecasting Time Series with Robust Exponential Smoothing. We provide an outlier robust alternative of the function ets() in the ’forecast’ package of Hyndman and Khandakar (2008)<<a href=”http://dx.doi.org/10.18637/jss.v027.i03”>doi:10.18637/jss.v027.i03</a>>. For each method of a class of exponential smoothing variants we made a robust alternative. The class includes methods with a damped trend and/or seasonal components. The robust method is developed by robustifying every aspect of the original exponential smoothing variant. We provide robust forecasting equations, robust initial values, robust smoothing parameter estimation and a robust information criterion. The method is described in more detail in Crevits and Croux (2016)<<a href=”http://dx.doi.org/10.13140/RG.2.2.11791.18080”>doi:10.13140/RG.2.2.11791.18080</a>>.
Homepage: https://cran.r-project.org/web/packages/robets/index.html
Source Code:  https://github.com/cran/robets
Dependencies: R
Keywords: CRAN; R package; Time Series; Robust Exponential Smoothing; forecast
Cited in: 0 Documents