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>.

Author
Ruben Crevits [aut, cre]
Date of publication
2016-11-24 16:39:17
Maintainer
Ruben Crevits <ruben.crevits@kuleuven.be>
License
GPL (>= 2)
Version
1.1
URLs

View on CRAN

Man pages

coef.robets
Coef robets model
forecast.robets
Forecasting using ROBETS models
plotOutliers
Plot outliers detected by robets model
plot.robets
Plot robets model
print.robets
Print robets model
robets
Robust exponential smoothing model
summary.robets
Summary robets model
tau2
Compute the tau2 estimator of scale

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