Predicting a value from the previous value

We initially consider only time series with autocorrelation but no trend.

Forecasting further into the future

Direct application of the model only allows prediction one time period beyond the end of the observed data.

t  =  b0  +  b1 yt − 1

However a similar equation can be applied to the forecast to extend it another time period into the future, and so on.

t + k  =  b0  +  b1 t + k −1

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