robets: 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)<DOI:10.18637/jss.v027.i03>. 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)<DOI:10.13140/RG.2.2.11791.18080>.

AuthorRuben Crevits [aut, cre]
Date of publication2016-11-24 16:39:17
MaintainerRuben Crevits <ruben.crevits@kuleuven.be>
LicenseGPL (>= 2)
Version1.1
http://github.com/RubenCrevits/robets

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Files in this package

robets
robets/src
robets/src/calc_out.cpp
robets/src/etspolyroot.c
robets/src/robetsTargetFunction.cpp
robets/src/robetsTargetFunction.h
robets/src/RcppExports.cpp
robets/src/robetsTargetFunctionWrapper.cpp
robets/NAMESPACE
robets/R
robets/R/robets.R robets/R/tau2.R robets/R/plot.R robets/R/coef.R robets/R/print.R robets/R/plotOutliers.R robets/R/robetsforecast.R robets/R/summary.R
robets/MD5
robets/DESCRIPTION
robets/man
robets/man/plot.robets.Rd robets/man/coef.robets.Rd robets/man/summary.robets.Rd robets/man/tau2.Rd robets/man/print.robets.Rd robets/man/forecast.robets.Rd robets/man/plotOutliers.Rd robets/man/robets.Rd

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