1. Exponential smoothing based on L-estimation
- Creator:
- Bejda, Přemysl and Cipra, Tomáš
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- change point, exponential smoothing, quantiles, robust methods, and sign test
- Language:
- English
- Description:
- Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in L1 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.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public