Forecasting Using Robust Exponential Smoothing with Damped Trend and Seasonal Components

Abstract

We provide a framework for robust exponential smoothing. For a class of exponential smoothing variants, we present a robust alternative. The class includes models with a damped trend and/or seasonal components. We provide robust forecasting equations, robust starting values, robust smoothing parameter estimation and a robust information criterion. The method is implemented in the R package robets, allowing for automatic forecasting. We compare the standard non-robust version with the robust alternative in a simulation study. Finally, the methodology is tested on data.

Keywords: Automatic Forecasting, Outliers, R package, Time series