Number of Parameters of Autoregressive Model

Theorem
Let $S$ be a stochastic process based on an equispaced time series.

Let the values of $S$ at timestamps $t, t - 1, t - 2, \dotsc$ be $z_t, z_{t - 1}, z_{t - 2}, \dotsc$

Let $\tilde z_t, \tilde z_{t - 1}, \tilde z_{t - 2}, \dotsc$ be deviations from a constant mean level $\mu$:
 * $\tilde z_t = z_t - \mu$

Let $a_t, a_{t - 1}, a_{t - 2}, \dotsc$ be a sequence of independent shocks at timestamps $t, t - 1, t - 2, \dotsc$

Let $M$ be an autoregessive model on $S$ of order $p$:


 * $\tilde z_t = \phi_1 \tilde z_{t - 1} + \phi_2 \tilde z_{t - 2} + \dotsb + \phi_p \tilde z_{t - p} + a_t$

Then $M$ has $p + 2$ parameters.

Proof
By definition of the parameters of $M$:

Thus:
 * there are $p$ parameters of the form $\phi_j$
 * $1$ parameter $\mu$
 * $1$ parameter $\sigma_a^2$.

That is: $p + 1 + 1 = p + 2$ parameters.