topic Re: ARIMA(1,0,0) output Parameter Estimates - I do not understand the output in Discussions

ARIMA(1,0,0) output Parameter Estimates - I do not understand the output

ChrisC — Wed, 20 Sep 2017 16:08:01 GMT

I ran a simple AR(1) model on 24 rows of trending data just to see the output. It provided the AR(1) coefficient and the intercept - however, they made no sense to me. For example, I thought that if the output for an AR(1) is 0.8 and Intercept = 105, then the forecasting equation would be for y(t) = 105 + 0.8*y(t-1). But the output of the parameter estimates do not fit this. What am I missing? Thanks

Re: ARIMA(1,0,0) output Parameter Estimates - I do not understand the output

jiancao — Tue, 26 Sep 2017 01:55:04 GMT

According to ARIMA (http://www.jmp.com/support/help/13-2/Statistical_Details_for_ARIMA_Models.shtml#409330),

So, the AR(1) model you fit is: Y(t)-105=0.8*(Y(t-1)-105) +e(t), or Y(t)=21+0.8*Y(t-1)+e(t)

Re: ARIMA(1,0,0) output Parameter Estimates - I do not understand the output

ChrisC — Sat, 30 Sep 2017 23:19:28 GMT

Perfect! Thanks