Exponential smoothing for time series with outliers

Title:

Exponential smoothing for time series with outliers

Creator:

Cipra, Tomáš and Hanzák, Tomáš

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:c09d4e82-4587-41dd-90cf-ab4cae2870aa
uuid:c09d4e82-4587-41dd-90cf-ab4cae2870aa

Subject:

exponential smoothing, Kalman filter, outliers, and robust smoothing and forecasting

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

Recursive time series methods are very popular due to their numerical simplicity. Their theoretical background is usually based on Kalman filtering in state space models (mostly in dynamic linear systems). However, in time series practice one must face frequently to outlying values (outliers), which require applying special methods of robust statistics. In the paper a simple robustification of Kalman filter is suggested using a simple truncation of the recursive residuals. Then this concept is applied mainly to various types of exponential smoothing (recursive estimation in Box-Jenkins models with outliers is also mentioned). The methods are demonstrated using simulated data.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[165]-168

Source:

Kybernetika | 2011 Volume:47 | Number:2

Harvested from:

CDK

Metadata only:

false