Autoregressive Models

An autoregressive model is a regression where that a value from a time series is regressed on previous values from that same time series.

The order of an autoregression is the number of immediately preceding values in the series that are used to predict the value at the present time.

A first-order autoregression[autoregressive model] is represented as AR(1).

The value at time t is predicted from the value at time t-1

A second-order autoregression is represented as AR(2).

The value at time t is predicted from the values at time t-1 and time t-2.

References