The
weighted moving average has poor forecast accuracy due to its reliance on simple weights rather than rigorous statistical models that capture trends, day of week and week of year patterns and correlation in the data accurately.
To illustrate the estimation results obtained from using the weighted moving averages and setting [alpha] according to the RMSPE criterion, in panels 1.
The estimates that used the weighted moving averages with [beta] = 0.
The significantly lower estimated loss ratios reflect the combined effects of estimating loss ratios using the weighted moving averages and the adjustments made for the catastrophic losses.
The IDW technique is the most common
weighted moving average and is a first order interpolation method.
As with the equally weighted moving averages, the parameter u is assumed to equal zero.
This concept is illustrated in Chart 2, which plots time series of value-at-risk measures using exponentially weighted moving averages
We begin by explaining the three most common categories of value-at-risk models--equally weighted moving average approaches, exponentially weighted moving average approaches, and historical simulation approaches.
The exponentially weighted moving average, (EWMA), has found applications in a number of different areas.
Roberts[7] is often credited for first suggesting the use of an exponential weighted moving average, EWMA, as a statistic for a control chart (although he used the term geometric moving average).
Weighted moving averages is a patient-result-based system for process control of red-cell-related parameters.
Weighted moving averages anchors the validity of the indices by referencing one primary measurement, hemoglobin, to a defined calibration event.
