What is the Moving Average?

The moving average model is probably the most naive approach to time series modeling.

• This model states that the next observation is the mean of all past observations. Although simple, this model might be surprisingly good, and it represents a good starting point.

• Otherwise, the moving average can be used to identify interesting trends in the data.

• We can define a window to apply the moving average model to smooth the time series and highlight different trends.

• In the plot above, we applied the moving average model to a 24h window.

• The green line smoothed the time series, and we can see that there are two peaks in the 24h period.

• The longer the window, the smoother the trend will be.

• Below is an example of a moving average on a smaller window.