Forecasting Time Series with Robust Exponential Smoothing
Description
We provide an outlier robust alternative of the function ets() in the 'forecast' package of Hyndman and Khandakar (2008) . 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) .