Autoregression Forecast Formula

The formula for Autoregression forecasting is
autoregression formula

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Graphic: auto_reg.gif

where

component of autoregression formula

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Graphic: auto_reg_1.svg

and

component of autoregression formula

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Graphic: auto_reg_2.gif

IBM® Cognos® PowerPlay® uses Burg's algorithm and a data window (M) equal to half the number of data points to solve these equations.