Old dog, new tricks: a modelling view of simple moving averages

Ivan Svetunkov, Fotios Petropoulos

Research output: Contribution to journalArticle

Abstract

Simple moving average (SMA) is a well-known forecasting method. It is easy to understand and interpret and easy to use, but it does not have an appropriate length selection mechanism and does not have an underlying statistical model. In this paper we show two statistical models underlying SMA and demonstrate that the automatic selection of the optimal length of the model can easily be done using this finding. We then evaluate the proposed model on a real dataset and compare its performance with other popular simple forecasting methods. We find that SMA performs better both in terms of point forecasts and prediction intervals in cases of normal and cumulative values.
LanguageEnglish
Number of pages14
JournalInternational Journal of Production Research
Early online date29 Sep 2017
DOIs
StatusE-pub ahead of print - 29 Sep 2017

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Moving average
Dog
Modeling
Forecasting method
Statistical model
Statistical Models
Prediction interval
Point forecasts

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Old dog, new tricks: a modelling view of simple moving averages. / Svetunkov, Ivan; Petropoulos, Fotios.

In: International Journal of Production Research, 29.09.2017.

Research output: Contribution to journalArticle

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