Old dog, new tricks: a modelling view of simple moving averages
揭示了简单移动平均法背后的两种统计模型，并利用这一发现自动选择最优长度，在真实数据集上比其它简单预测方法表现更好。
Simple moving average (SMA) is a well-known forecasting method. It is easy to understand and interpret and easy to use, but it does not have an appropriate length selection mechanism and does not have an underlying statistical model. In this paper, we show two statistical models underlying SMA and demonstrate that the automatic selection of the optimal length of the model can easily be done using this finding. We then evaluate the proposed model on a real data-set and compare its performance with other popular simple forecasting methods. We find that SMA performs better both in terms of point forecasts and prediction intervals in cases of normal and cumulative values.