Kybernetika 51 no. 6, 973-993, 2015

Exponential smoothing based on L-estimation

Přemysl Bejda and Tomáš CipraDOI: 10.14736/kyb-2015-6-0973

Abstract:

Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in $L_1$ are generalized using the regression quantiles, including a generalization to more parameters. Then a method based on the classical sign test is introduced that should deal not only with outliers but also with level shifts, including a detection of change points. Properties of various approaches are investigated by means of a simulation study. A real data example is used as an illustration.

Keywords:

exponential smoothing, change point, quantiles, robust methods, sign test

Classification:

62M10, 62M20, 62N02

paper.pdf

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