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Robust exponential smoothing

✍ Scribed by Tomáš Cipra

Book ID
102842496
Publisher
John Wiley and Sons
Year
1992
Tongue
English
Weight
602 KB
Volume
11
Category
Article
ISSN
0277-6693

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✦ Synopsis

The paper is devoted to robust modifications of exponential smoothing for time series with outliers or long-tailed distributions. Classical exponential smoothing applied to such time series is sensitive to the presence of outliers or long-tailed distributions and may give inadequate smoothing and forecasting results. First, simple and double exponential smoothing in the L1 norm (i.e. based on the least absolute deviations) are discussed in detail. Then, general exponential smoothing is made robust, replacing the least squares approach by M-estimation in such a way that the recursive character of the final formulas is preserved. The paper gives simple algorithmic procedures which preserve advantageous features of classical exponential smoothing and, in addition, which are less sensitive to outliers. Robust versions are compared numerically with classical ones. KEY WORDS Exponential smoothing Outliers Long-tailed distributions Robust methods L1 norm Least absolute deviations M-estimation Time series ' . 0 1992 by John Wiley & Sons, Ltd.

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