robets (1.4)

0 users

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], Christoph Bergmeir [aut], Rob Hyndman [aut], Ross Ihaka [ctb], R Core Team [ctb]

License: GPL-3

Uses: forecast, Rcpp
Reverse suggests: sweep, timetk

Released almost 2 years ago.


4 previous versions

Ratings

Overall:

  (0 votes)

Documentation:

  (0 votes)

Log in to vote.

Reviews

No one has written a review of robets yet. Want to be the first? Write one now.


Related packages: ArDec, Ecdat, TSdbi, boot, brainwaver, chron, depmix, dlm, dse, dyn, dynlm, ensembleBMA, fGarch, fNonlinear, fame, fracdiff, fractal, kza, mAr, mFilter(20 best matches, based on common tags.)


Search for robets on google, google scholar, r-help, r-devel.

Visit robets on R Graphical Manual.