Heavy Moving Averages in exchange rate forecasting

Abstract

The paper presents the Heavy Ordered Weighted Moving Average (HOWMA) operator. It is a new aggregation operator that takes the advantage of the moving average to solve time series smoothing problems and the heavy OWA to provide more robust formulation and take into account the expectations of the future scenarios. It includes a wide range of particular cases such as the olympic moving aggregation and centered moving aggregation. The study also includes a new application to forecast the exchange rate USD/MXN combining econometric models and the HOWMA operator.