Croux, C.; Fried, R.; Gijbels, I.; Mahieu, K. - Tilburg University, Center for Economic Research - 2010
This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non … method is shown to produce reliable forecasts in the presence of outliers, non-linearity, and heteroscedasticity. In the … absence of outliers, the forecasts are only slightly less precise than those based on a localized Least Squares estimator. An …