Physical Sciences and Mathematics Commons^™

A Weighted Moving Average Process For Forecasting, Shou Hsing Shih, Chris P. Tsokos

Journal of Modern Applied Statistical Methods

The object of the present study is to propose a forecasting model for a nonstationary stochastic realization. The subject model is based on modifying a given time series into a new k-time moving average time series to begin the development of the model. The study is based on the autoregressive integrated moving average process along with its analytical constrains. The analytical procedure of the proposed model is given. A stock XYZ selected from the Fortune 500 list of companies and its daily closing price constitute the time series. Both the classical and proposed forecasting models were developed and a comparison …