autoregressive model

The autoregressive modelMathworldPlanetmath of order p, denoted AR(p), is a random process model described by

yt=i=1paiyt-i+c+et,t=1,2, (1)

where ai are model parameters, yt is the model output in discrete time instant t. Term c is an absolute term (constant) and et denotes discrete white noise.

A first-order autoregression model AR(1) in the form yt=ayt-1+c+et 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