The Library
Some properties of a simple moving average when applied to forecasting a time series
Tools
UNSPECIFIED (1999) Some properties of a simple moving average when applied to forecasting a time series. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY, 50 (12). pp. 1267-1271. ISSN 0160-5682.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Abstract
Simple (equally weighted) moving averages are frequently used to estimate the current level of a time series; with this value being projected as a forecast for future observations. A key measure of the effectiveness of the method is the sampling error of the estimator, which this paper defines in terms of characteristics of the data. This enables the optimal length of the average for any steady state model to be established and the lead time forecast error derived. A comparison of the performance of a simple moving average (SMA) with an exponentially weighted moving average (EWMA) is made. It is shown that, for a Steady state model, the variance of the forecast error is typically less than 3% higher than the appropriate EWMA. This relatively small difference may explain the inconclusive results from the empirical studies about the relative predictive performance of the two methods.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management | ||||
Journal or Publication Title: | JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | ||||
Publisher: | STOCKTON PRESS | ||||
ISSN: | 0160-5682 | ||||
Official Date: | December 1999 | ||||
Dates: |
|
||||
Volume: | 50 | ||||
Number: | 12 | ||||
Number of Pages: | 5 | ||||
Page Range: | pp. 1267-1271 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |