Robust exponential smoothing of multivariate time series

DOI10.1016/j.csda.2009.05.003zbMath1284.62547OpenAlexW2121135122MaRDI QIDQ2445753

Christophe Croux, Sarah Gelper, Koen Mahieu

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.05.003

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Special issue on variable selection and robust procedures ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ Unnamed Item ⋮ Robust estimation for vector autoregressive models ⋮ Unnamed Item

Uses Software

• robustbase

Cites Work

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• Online analysis of time series by the \(Q_n\) estimator
• Editorial. Spatial statistics: methods, models \& computation
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• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Robust Estimation in Vector Autoregressive Moving-Average Models
• Robust forecasting with exponential and Holt-Winters smoothing
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Approximate non-Gaussian filtering with linear state and observation relations
• Mining Imperfect Data
• Robust Statistics
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Elements of multivariate time series analysis

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