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Nixtla / statsforecast

Lightning ⚡️ fast forecasting with statistical and econometric models.
https://nixtlaverse.nixtla.io/statsforecast
Apache License 2.0
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Add non weighted moving average model #928

Open tackes opened 2 weeks ago

tackes commented 2 weeks ago

Description

It doesn't appear to be a current functionality to add a simple moving average. HOLT is weighted, a simple MA model with a moving window size parameter This would be another nice model to use for baselining and smoothing.

Use case

A smooth model which had use cases is baselining

GGA-PERSO commented 5 days ago

@tackes You are probably looking for these models ? https://nixtlaverse.nixtla.io/statsforecast/src/core/models.html#windowaverage https://nixtlaverse.nixtla.io/statsforecast/src/core/models.html#seasonalwindowaverage

tackes commented 5 days ago

@GGA-PERSO no unfortunately those are not moving average models. Those are static window averages.

A moving average model recursively predicts 1 step using a average then repeats. These window functions do not do that