In one of the comments to my previous post about the Simple Moving Average on LinkedIn, a reader mentioned that they use a Weighted Moving Average with their own weighting scheme. This can work well although defining the weights can be a nuisance: a Weighted Moving Average of order 12 needs 12 weights that someone … Read more
And here is another forecasting method that is hard to beat in practice. In a recent competition, it gave data scientists huge headaches and even outperformed some powerful ML methods. What’s the name of this beast?! Simple Moving Average! The idea behind the Simple Moving Average (SMA) is to take the average of the last … Read more
There is another forecasting method that is extremely popular, hard to beat, and has no parameters to estimate. It also has “Naïve” in its name. Do you know what I’m talking about? It is called “Seasonal Naïve”. While the simple Naïve copies the last observed actual into the future as a forecast, the seasonal one … Read more
There is one forecasting method that appears more often than any other in competitions and evaluations. An experienced forecaster will always use it as a benchmark. This method is called “Naïve”, and here is why it is popular and important. Naïve is a very simple forecasting method: the forecast equals to the last observed value. … Read more