I prepared the following notes for a consulting client, and I thought they might be of interest to some other people too. Let (y_t) denote the value of the time series at time (t), and suppose we wish to fit a trend with correlated errors of the form [ y_t = f(t) + n_t, ] where (f(t)) represents the possibly nonlinear trend and (n_t) is an autocorrelated error …