Autoregressive model

An autoregressive model is a kind of statistical model. Like all statistics models, the idea is to describe a random process. In an autoregressive model, the output value depends linearly on one of the previous values of the model, plus a random variable, which describes that there is some randomness in the outcome.

Autoregressive Model Media

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  AR(0); AR(1) with AR parameter 0.3; AR(1) with AR parameter 0.9; AR(2) with AR parameters 0.3 and 0.3; and AR(2) with AR parameters 0.9 and −0.8

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  Autocorrelation function of several AR(p) processes with variance of the noise of 1

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  Autocorrelation function of several AR(p) processes with sigma2 of the noise=1