Robust Kalman filter and its application in time series analysis
Tomáš Cipra, Ma.Rosario Romera Ayllón (1991)
Kybernetika
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Tomáš Cipra, Ma.Rosario Romera Ayllón (1991)
Kybernetika
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Tomáš Cipra (1994)
Applications of Mathematics
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The problem of asymmetry appears in various aspects of time series modelling. Typical examples are asymmetric time series, asymmetric error distributions and asymmetric loss functions in estimating and predicting. The paper deals with asymmetric modifications of some recursive time series methods including Kalman filtering, exponential smoothing and recursive treatment of Box-Jenkins models.
Tomáš Cipra, I. Motyková (1987)
Commentationes Mathematicae Universitatis Carolinae
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Tomás Cipra, Asunción Rubio, José Trujillo (1991)
Extracta Mathematicae
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The recursive methods are popular in time series analysis since they are computationally efficient and flexible enough to treat various changes in character of data. This paper gives a survey of the most important type of these methods including their classification and relationships existing among them. Special attention is devoted to i) robustification of some recursive methods, capable of facing outliers in time series, and ii) modifications of recursive methods for time series with...
Christophe Croux, Sarah Gelper, Roland Fried (2008)
Applications of Mathematics
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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...