Discussion. Sur une limitation très générale de la dispersion médiane by M. Fréchet
Analyse canonique basée sur des estimateurs robustes de la matrice de covariance
Computational aspects of robust Holt-Winters smoothing based on -estimation
To obtain a robust version of exponential and Holt-Winters smoothing the idea of -estimation can be used. The difficulty is the formulation of an easy-to-use recursive formula for its computation. A first attempt was made by Cipra (Robust exponential smoothing, J. Forecast. (1992), 57–69). The recursive formulation presented there, however, is unstable. In this paper, a new recursive computing scheme is proposed. A simulation study illustrates that the new recursions result in smaller forecast...
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