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

Dawoud I., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, cilt.46, sa.4, ss.2842-2864, 2017 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 46 Sayı: 4
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1080/03610918.2015.1065325
  • Dergi Adı: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2842-2864
  • Anahtar Kelimeler: ARIMA models, Exponential weighted moving average, Forecasting accuracy, Simple moving average, Stationary, Weighted moving average
  • Çukurova Üniversitesi Adresli: Evet

Özet

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 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.