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

Svetunkov, Ivan and Petropoulos, Fotios (2018) Old dog, new tricks:a modelling view of simple moving averages. International Journal of Production Research, 56 (18). pp. 6034-6047. ISSN 0020-7543

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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 data-set 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.

Item Type:
Journal Article
Journal or Publication Title:
International Journal of Production Research
Additional Information:
This is an Accepted Manuscript of an article published by Taylor & Francis in International Journal of Production Research on 29/09/2017, available online: http://www.tandfonline.com/10.1080/00207543.2017.1380326
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2200/2209
Subjects:
ID Code:
88608
Deposited By:
Deposited On:
21 Nov 2017 20:07
Refereed?:
Yes
Published?:
Published
Last Modified:
09 Jul 2020 05:35