A Monte-Carlo weighted moving average process for smoothing time series data

Abstract

A Monte-Carlo weighted moving average procedure was developed for smoothing time series data. The applicability of the method was demonstrated by using two economic time series data set to make comparison with the models, classified as k-th simple moving average, simple exponential weighted moving average, k-th weighted moving average and k-th exponential weighted moving average processes. In terms of the mean square error and mean absolute error, the Monte-Carlo weighted moving average (MC-WMA) process outperformed the other models.

Keywords: Monte-Carlo weighted moving average, Weighted moving average, Exponential weighted moving average Mean square error, Mean absolute error