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Displaying similar documents to “Exponential smoothing for time series with outliers”

Holt-Winters method with general seasonality

Tomáš Hanzák (2012)

Kybernetika

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The paper suggests a generalization of widely used Holt-Winters smoothing and forecasting method for seasonal time series. The general concept of seasonality modeling is introduced both for the additive and multiplicative case. Several special cases are discussed, including a linear interpolation of seasonal indices and a usage of trigonometric functions. Both methods are fully applicable for time series with irregularly observed data (just the special case of missing observations was...

Optimally approximating exponential families

Johannes Rauh (2013)

Kybernetika

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This article studies exponential families on finite sets such that the information divergence D ( P ) of an arbitrary probability distribution from is bounded by some constant D > 0 . A particular class of low-dimensional exponential families that have low values of D can be obtained from partitions of the state space. The main results concern optimality properties of these partition exponential families. The case where D = log ( 2 ) is studied in detail. This case is special, because if D < log ( 2 ) , then contains...