robets v1.4


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Forecasting Time Series with Robust Exponential Smoothing

We provide an outlier robust alternative of the function ets() in the 'forecast' package of Hyndman and Khandakar (2008) <DOI:10.18637/jss.v027.i03>. For each method of a class of exponential smoothing variants we made a robust alternative. The class includes methods with a damped trend and/or seasonal components. The robust method is developed by robustifying every aspect of the original exponential smoothing variant. We provide robust forecasting equations, robust initial values, robust smoothing parameter estimation and a robust information criterion. The method is described in more detail in Crevits and Croux (2016) <DOI:10.13140/RG.2.2.11791.18080>.

Functions in robets

Name Description
print.robets Print robets model
robets Robust exponential smoothing model
plot.robets Plot robets model
plotOutliers Plot outliers detected by robets model
summary.robets Summary robets model
tau2 Compute the tau2 estimator of scale
coef.robets Coef robets model
forecast.robets Forecasting using ROBETS models
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Type Package
Date 2018-03-06
License GPL-3
LinkingTo Rcpp
LazyData true
ByteCompile true
RoxygenNote 6.0.1
NeedsCompilation yes
Packaged 2018-03-06 13:24:14 UTC; u0099245
Repository CRAN
Date/Publication 2018-03-06 16:46:30 UTC

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