An optimal k of kth MA-ARIMA models under AR(p) models. Issue 4 (21st April 2017)

• Record Type: Journal Article
• Authors: Dawoud, Issam; Kaçıranlar, Selahattin
• Is Part Of: Communications in statistics. Volume 46:Issue 4(2017)
• Page Start: 2842
• Page End: 2864
• Publication Date: 2017-04-21
• Subjects: ARIMA models -- Exponential weighted moving average -- Forecasting accuracy -- Simple moving average -- Stationary -- Weighted moving average; 62M10; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2015.1065325
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: In this article, we discuss finding the optimal k of (i) k th simple moving average, (ii) k th weighted moving average, and (iii) k th exponential weighted moving average based on simulated autoregressive AR( p ) model. We run a simulation using the three above examining method under specific conditions. The main finding is that the optimal k = 4 and then k = 3. Especially, the fourth WMA ARIMA model, fourth EWMA ARIMA model, and third EWMA ARIMA model are the best forecasting models among others, respectively. For all the six real data reveal the similar results of simulation study.