The tau2-estimator is a robust measure of the scale. The exact formula of the estimator is in Crevits and Croux (2016), equation 3.10.
Usage
tau2(x)
Arguments
x
A vector of residuals.
Value
The tau2 estimate of scale.
References
Crevits, R., and Croux, C (2016) "Forecasting with Robust Exponential Smoothing with Damped Trend and Seasonal Components".Working paper. https://doi.org/10.13140/RG.2.2.11791.18080