Abstrakt
Robust methods similar to exponential smoothing are suggested in this paper. First previous results for exponential smoothing in L1 are generalized using the regression quantiles, including a generalization to more parameters.
Then a method based on the classical sign test is introduced that should deal not only with outliers but also with level shifts, including a detection of change points. Properties of various approaches are investigated by means of a simulation study.
A real data example is used as an illustration.