Hi, are there any resources of using HistoricAvera...
# general
Hi, are there any resources of using HistoricAverage? I would like to use the 4w/16w /52w simple moving average but I do not seems to knack the implementation. I would want it to be a rolling average.
Hey @Andrei Tulbure! The HistoricAverage model takes the entire history of the time series to produce forecasts. You could try using WindowAverage. With it, you can specify the
argument. For example,
will average the last 4 observations to produce forecasts.
And how are the forecasts produced? Is it a rolling forecast of the last 4 weeks? Or is it just a single value spread out over the fcast horizon? I would like the forecast to be rolling, like to always take into account also the last forecasted value when it makes the average for the window.
Do you happen to have an implementation also for Exponential moving average?
I see. Currently, an autoregressive window average is not supported. But both models (including the exponential moving average) are special cases of an
model with predefined coefficients (
in the case of the autoregressive window average). We are extending the
family to include the
model separately, and we will have the option to specify the coefficients. Please help us open an issue on the statsforecast repo. 🙂
Okay, will do that. And also will fill in an issue
thanks !!