Rolling average: when is it possible to consider it?

Data Science Asked by Val on December 8, 2020

I would like to know if I can consider rolling average to predict the future trend of sells.
I collected data from January 2020 to March 2020, day by day, on sells in a shop and I would like to run some analysis.
I was considering rolling average on multiple periods (5 – 10 days). Do you think it might make sense?

One Answer

You can! But the implications can be huge.

If you choose a big number, you automatically shorten the dataset from which you can train your time-series or forecast model. Also, if things start to "change" in recent time, your model might take too long to react if it weights those rolling averages heavily.

If you go too short, it might overreact to recent changes, or you're just missing that information from which your model might be able to learn on. I usually make that decision based on how I want to use the forecast on unseen data. This is not an easy decision for which there is a solid rule-of-thumb.

Welcome to the real-world complexities of a time-series problem!

Correct answer by Josh on December 8, 2020

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