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], Christoph Bergmeir [aut], Rob Hyndman [aut], Ross Ihaka [ctb], R Core Team [ctb]|
|Maintainer||Ruben Crevits <email@example.com>|
|Package repository||View on CRAN|
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