In this paper, we propose a robust version of the multivariate exponential smoothing scheme. Classic exponential smoothing is sensitive to outliers in the data, since they affect both the update equation (1) for obtaining the smoothed val-ues and equation (2) for computing the forecast.
Automatic robust estimation for exponential smoothing: Perspectives ...
Dec 1, 2020 · This research focuses on investigating robust approaches to forecasting with exponential smoothing for automation. We conduct a large scale empirical evaluation of best in class approaches to robust parameter estimation for exponential smoothing.
Robust exponential smoothing of multivariate time series
Dec 1, 2010 · In this paper we propose an affine equivariant robust exponential smoothing approach for multivariate time series. Thanks to its recursive definition, it is applicable for online monitoring. An important byproduct of the method is that a …
We propose robust versions of the exponential and Holt–Winters smoothing techniques which make both the smoothing and the parameter selection robust to outliers.
(PDF) Automatic robust estimation for exponential smoothing ...
Jun 6, 2020 · We investigate ways to increase the reliability of exponential smoothing forecasts, the most widely used family of forecasting models in business forecasting. We consider two alternative sets...
Robust Forecasting with Exponential and Holt-Winters Smoothing …
Feb 1, 2008 · The robust exponential and Holt-Winters smoothing methods are presented as a recursive updating scheme. Both the update equation and the selection of the smoothing parameters are robustied. This robust method is equivalent to a particular form of the robust Kalman lter in a local linear trend model.
(PDF) Robust exponential smoothing - ResearchGate
Jan 1, 1992 · We investigate ways to increase the reliability of exponential smoothing forecasts, the most widely used family of forecasting models in business forecasting. We consider two alternative sets...
We propose robust versions of the exponential and Holt-Winters smoothing techniques which make both the smooth-ing and the parameter selection robust to outliers. The robustification of the smoothing algorithm is based on a pre-cleaning mechanism …
[PDF] Automatic robust estimation for exponential smoothing ...
Dec 1, 2020 · The complex exponential smoothing (CES) is proposed, based on the theory of functions of complex variables, and it is shown that CES has desirable features for time series modeling and opens new promising avenues for research.
Robust exponential smoothing - Cipra - Wiley Online Library
The paper gives simple algorithmic procedures which preserve advantageous features of classical exponential smoothing and, in addition, which are less sensitive to outliers. Robust versions are compared numerically with classical ones.
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