An optimal k of kth MA-ARIMA models under MA(q) models

作者：Dawoud Issam^*; Kaciranlar Selahattin

来源：Communications in Statistics - Simulation and Computation, 2017, 46(6): 4185-4198.

DOI：10.1080/03610918.2015.1109657

• ARIMA models
• Exponential weighted moving average
• Forecasting accuracy
• Simple moving average
• Weighted moving average

In this article, we discuss finding the optimal k of (i) kth simple moving average, (ii) kth weighted moving average, and (iii) kth exponential weighted moving average based on simulated MA(q) model. We run a simulation using the three above examining methods under specific conditions. The main finding is that, 5th Exponential Weighted Moving Average (5-th EWMA) Autoregressive Integrated Moving Average (ARIMA) model is the best forecasting model among others, which means the optimal k = 5. For Turkish Telecommunications (TTKOM), stock market real data reveals the similar results of the simulation study.

• 出版日期2017