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How to forecast a mean revert process

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How to forecast a mean revert process

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.


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‎03-10-2014 02:54 PM
Respected Advisor
Posts: 2,655

Re: How to forecast a mean revert process

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

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‎03-10-2014 02:54 PM
Respected Advisor
Posts: 2,655

Re: How to forecast a mean revert process

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

Frequent Contributor
Posts: 122

Re: How to forecast a mean revert process

Posted in reply to SteveDenham

Thanks. I will repost over there.

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