| Title:
|
Exponential smoothing based on L-estimation (English) |
| Author:
|
Bejda, Přemysl |
| Author:
|
Cipra, Tomáš |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
51 |
| Issue:
|
6 |
| Year:
|
2015 |
| Pages:
|
973-993 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in $L_1$ 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. (English) |
| Keyword:
|
change point |
| Keyword:
|
exponential smoothing |
| Keyword:
|
quantiles |
| Keyword:
|
robust methods |
| Keyword:
|
sign test |
| MSC:
|
62M10 |
| MSC:
|
62M20 |
| MSC:
|
62N02 |
| idZBL:
|
Zbl 06537791 |
| idMR:
|
MR3453681 |
| DOI:
|
10.14736/kyb-2015-6-0973 |
| . |
| Date available:
|
2016-01-21T18:20:33Z |
| Last updated:
|
2018-01-10 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144820 |
| . |
| Reference:
|
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| Reference:
|
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| Reference:
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| Reference:
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| Reference:
|
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| Reference:
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| . |
