Displaying similar documents to “A remark on exponential dichotomies.”

Exponential smoothing for time series with outliers

Tomáš Hanzák, Tomáš Cipra (2011)

Kybernetika

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Recursive time series methods are very popular due to their numerical simplicity. Their theoretical background is usually based on Kalman filtering in state space models (mostly in dynamic linear systems). However, in time series practice one must face frequently to outlying values (outliers), which require applying special methods of robust statistics. In the paper a simple robustification of Kalman filter is suggested using a simple truncation of the recursive residuals. Then this...