tau2: Compute the tau2 estimator of scale

In RubenCrevits/robets: Forecasting Time Series with Robust Exponential Smoothing

Description

The tau2-estimator is a robust measure of the scale. The exact formula of the estimator is in Crevits and Croux (2016), equation 3.10.

Usage

tau2(x)

Arguments

x	A vector of residuals.

Value

The tau2 estimate of scale.

References

Crevits, R., and Croux, C (2016) "Forecasting with Robust Exponential Smoothing with Damped Trend and Seasonal Components".Working paper. https://doi.org/10.13140/RG.2.2.11791.18080

Examples

set.seed(100)
e <- 10*rnorm(100)
mse <- mean(e^2) 
tse <- tau2(e) 

RubenCrevits/robets documentation built on May 9, 2019, 10:35 a.m.