robets (1.1)

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Forecasting Time Series with Robust Exponential Smoothing.

http://github.com/RubenCrevits/robets
http://cran.r-project.org/web/packages/robets

We provide an outlier robust alternative of the function ets() in the 'forecast' package of Hyndman and Khandakar (2008). 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).

Maintainer: Ruben Crevits
Author(s): Ruben Crevits [aut, cre]

License: GPL (>= 2)

Uses: forecast, Rcpp

Released 4 months ago.


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