robets (1.2)

Forecasting Time Series with Robust Exponential Smoothing.

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
Reverse suggests: sweep, timetk

Released over 2 years ago.