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

Dawoud I., KAÇIRANLAR S.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, vol.46, no.4, pp.2842-2864, 2017 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 46 Issue: 4
  • Publication Date: 2017
  • Doi Number: 10.1080/03610918.2015.1065325
  • Journal Name: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Page Numbers: pp.2842-2864
  • Keywords: ARIMA models, Exponential weighted moving average, Forecasting accuracy, Simple moving average, Stationary, Weighted moving average
  • Çukurova University Affiliated: Yes

Abstract

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.