International Journal of Production Research volume 56, issue 18, P6034-6047 2017 DOI: 10.1080/00207543.2017.1380326 View full text
Ivan Svetunkov, Fotios Petropoulos

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 s…

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