Robust time series analysis |
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Authors: | RD Snyder |
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Institution: | Department of Econometrics and Operations Research, Monash University, Clayton, Victoria, Australia |
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Abstract: | This paper considers the problem of obtaining estimates of seasonal and trend components of time series. It proposes a simple computational procedure for finding those estimates which minimize the sum of absolute errors for an additive time series model. It also examines a multiplicative model with a compound relative error criterion. The proposed method, which yields estimates which are insensitive to outlying members of the series, is ideally suited to a management science context, especially when large numbers of time series must be analysed on a regular basis. |
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