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A robust forecasting system, based on the combination of two simple moving averages

Author

Listed:
  • F R Johnston

    (University of Warwick)

  • J E Boylan

    (Buckinghamshire University College)

  • E Shale

    (University of Warwick)

  • M Meadows

    (University of Warwick)

Abstract

For series with negligible growth and seasonality, simple moving averages are frequently used to estimate the current level of a process, and the resultant value projected as a forecast for future observations. This paper shows that a linear combination of two simple moving averages (SMA) can provide an improved estimate of the underlying level of the process. The proposition is demonstrated by simulation, and good combinations are listed. The theory underlying the improvement is developed. The general rules are then illustrated through an application in an inventory situation.

Suggested Citation

  • F R Johnston & J E Boylan & E Shale & M Meadows, 1999. "A robust forecasting system, based on the combination of two simple moving averages," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 50(12), pages 1199-1204, December.
    • Handle: RePEc:pal:jorsoc:v:50:y:1999:i:12:d:10.1057_palgrave.jors.2600824
    DOI: 10.1057/palgrave.jors.2600824
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    Citations

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    Cited by:

    1. Syntetos, Aris A. & Boylan, John E., 2005. "The accuracy of intermittent demand estimates," International Journal of Forecasting, Elsevier, vol. 21(2), pages 303-314.
    2. F Caniato & M Kalchschmidt & S Ronchi, 2011. "Integrating quantitative and qualitative forecasting approaches: organizational learning in an action research case," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(3), pages 413-424, March.
    3. J E Boylan & F R Johnston, 2003. "Optimality and robustness of combinations of moving averages," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 54(1), pages 109-115, January.
    4. Strijbosch, Leo W.G. & Syntetos, Aris A. & Boylan, John E. & Janssen, Elleke, 2011. "On the interaction between forecasting and stock control: The case of non-stationary demand," International Journal of Production Economics, Elsevier, vol. 133(1), pages 470-480, September.

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