AR(1) by Hand: Fit φ with SLOPE, Build the Constant and Forecast One Step Ahead
This lesson is part of the course
In this lesson
You fit an AR(1) model to 25 weeks of average waiting times at the ferry pier, compute the in-sample one-step forecasts and forecast week 26.
Buy the course once for $9.99 to unlock every lesson and lab, the final exam and the certificate – lifetime access, no subscription.
Lessons in this course
- Stationarity by Numbers: Rolling Means, Rolling Spreads and a Simple Verdict Locked
- Differencing: First Differences, Seasonal Differences (Lag 12) and Both Together Locked
- Autocorrelation by Hand: ACF at Lags 1–6 with SUMPRODUCT and the ±2/√n Band Locked
- Partial Autocorrelation: φ₁₁, φ₂₂ and Reading the Model Order from ACF and PACF Locked
- AR(1) by Hand: Fit φ with SLOPE, Build the Constant and Forecast One Step Ahead Locked
- MA(1) by Hand: Residual Recursion with a Given θ, One-Step Forecasts and Shocks Locked
- ARIMA(1,1,0): Forecast the Differences and Integrate Back to Levels Locked
- Residual Checks & Model Choice: Residual ACF, Q Statistic, RMSE and an Information Score Locked