Kybernetika 32 no. 3, 289-306, 1996

Robust methods in exponential smoothing

Jiří Michálek


The paper deals with robust modification of exponential smoothing with additive outliers. The presented modification is based on the M-estimates approach. Simple and double exponential smoothing procedures are discussed in detail. A robust version of famous Holt's method is given, too.


62J10, 93E14, 62F35, 62J05, 62F12