Discount Weighted Moving Averages

DOI10.2307/2582783MaRDI QIDQ3334825zbMATH OpenOpenAlexFDO

Authors

Publication date 1984

Published in The Journal of the Operational Research Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2582783

zbMATH Keywords

exponentially weighted moving averagesdiscount weighted moving averageson-line estimation of the forecast error variance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Recommendations

• Discount Weighted Regression
• Some properties of a simple moving average when applied to forecasting a time series
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• Optimality and robustness of combinations of moving averages
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Cited in

(8)

• Weighted moving averaging revisited: an algebraic approach
• Moving Weighted Averages
• Exponentially Weighted Moved Average (EWMA) with Irregular Updating Periods
• Multivariate discount weighted regression and local level models
• Some properties of a simple moving average when applied to forecasting a time series
• Study of moving average approaches and exponential volatility
• Optimality and robustness of combinations of moving averages
• Discount Weighted Regression

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