Croux, Christophe; Gelper, Sarah; Mahieu, Koen - In: Computational Statistics & Data Analysis 54 (2010) 12, pp. 2999-3006
Multivariate time series may contain outliers of different types. In the presence of such outliers, applying standard multivariate time series techniques becomes unreliable. A robust version of multivariate exponential smoothing is proposed. The method is affine equivariant, and involves the...