Weighted moving averaging revisited: an algebraic approach
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An algebraic approach for the selection of weight coefficients for weighted moving averaging is proposed in this paper. The algebraic complexity of the sequence transformed by weighted moving averaging is set as a target criterion for the optimization problem of weight coefficients. A special computational setup is constructed in order to tackle the inevitable additive noise for real-world time series. Computational experiments prove that the proposed approach can outperform time series predictors based on classical moving averaging.
KeywordsMoving average Time series prediction Weight coefficients
Mathematics Subject Classification37M10 11B37 37M99
This work was supported by the Lithuanian Science Council under project No. MIP-078/2015.
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