How to forecast a mean revert process

[SeanZ]

HI,

I Want to forecast a mean revert process. The process is as following, y(t) = y(t-1) + a(b-y(t-1)). Here y(t-1) is lagged value for y(t). This is actually an AR(1) process. I have a data set with y value from 1960/01 to 2000/12. I want to use these data to estimate a mean revert (AR(1)) process, then I want to forecast y from 2001/01 for 10 months. How to do this? I searched and found that I can use proc model to estimate this model, but don't know how to forecast. Also I found that I may use proc arima to estimate and forecast, but don't quite know how to.

thanks.

[SteveDenham · Accepted solution]

You should repost this over in the SAS Forecasting forum.  I think the folks there are more likely to be able to give you the help you need.  Also, search for posts by .

Steve Denham

[SeanZ]

Thanks. I will repost over there.