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Nov 2, 2013 at 1:11 comment added Glen_b One approach to choosing a smoothing parameter would be to optimize one-step-ahead prediction errors (such as sums of squares of one-step-ahead prediction errors). If you're trying to identify outliers, you'd want a different measure of prediction error - one reasonably robust to outliers (and then moving averages would seem an odd choice - why not something more robust to the outliers?)
Nov 2, 2013 at 1:08 history edited Glen_b CC BY-SA 3.0
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Nov 1, 2013 at 21:49 answer added Peter Flom timeline score: 3
Nov 1, 2013 at 21:44 history asked Srishti M CC BY-SA 3.0