# autoregressive model

The autoregressive model^{} of order $p$, denoted AR($p$), is a random process model described by

$${y}_{t}=\sum _{i=1}^{p}{a}_{i}{y}_{t-i}+c+{e}_{t},t=1,2,\mathrm{\dots}$$ | (1) |

where ${a}_{i}$ are model parameters, ${y}_{t}$ is the model output in discrete time instant $t$. Term $c$ is an absolute term (constant) and ${e}_{t}$ denotes discrete white noise.

A first-order autoregression model AR(1) in the form ${y}_{t}=a{y}_{t-1}+c+{e}_{t}$ is one major example.

Title | autoregressive model |
---|---|

Canonical name | AutoregressiveModel |

Date of creation | 2013-03-22 18:33:37 |

Last modified on | 2013-03-22 18:33:37 |

Owner | camillio (22337) |

Last modified by | camillio (22337) |

Numerical id | 5 |

Author | camillio (22337) |

Entry type | Definition |

Classification | msc 60G10 |

Classification | msc 62J05 |

Synonym | AR |