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) . 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) .


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1.4 by Ruben Crevits, 4 years ago

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Authors: Ruben Crevits [aut, cre] , Christoph Bergmeir [aut] , Rob Hyndman [aut] , Ross Ihaka [ctb] , R Core Team [ctb]

Documentation:   PDF Manual  

Task views: Time Series Analysis

GPL-3 license

Imports Rcpp, forecast

Linking to Rcpp

Imported by sutteForecastR.

Suggested by sweep, timetk.

See at CRAN