Geodesic
Exponential smoothing based on L-estimation
Kybernetika, Tome 51 (2015) no. 6, pp. 973-993
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Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in $L_1$ are generalized using the regression quantiles, including a generalization to more parameters. Then a method based on the classical sign test is introduced that should deal not only with outliers but also with level shifts, including a detection of change points. Properties of various approaches are investigated by means of a simulation study. A real data example is used as an illustration.
Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in $L_1$ are generalized using the regression quantiles, including a generalization to more parameters. Then a method based on the classical sign test is introduced that should deal not only with outliers but also with level shifts, including a detection of change points. Properties of various approaches are investigated by means of a simulation study. A real data example is used as an illustration.
DOI : 10.14736/kyb-2015-6-0973
Classification : 62M10, 62M20, 62N02
Keywords: change point; exponential smoothing; quantiles; robust methods; sign test 
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Bejda, Přemysl; Cipra, Tomáš. Exponential smoothing based on L-estimation. Kybernetika, Tome 51 (2015) no. 6, pp. 973-993. doi: 10.14736/kyb-2015-6-0973

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