Category:Autoregressive Models
This category contains results about Autoregressive Models.
Definitions specific to this category can be found in Definitions/Autoregressive Models.
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 a model where the current value of $S$ is expressed as a finite linear aggregate of the past values along with a shock:
- $\tilde z_t = \phi_1 \tilde z_{t - 1} + \phi_2 \tilde z_{t - 2} + \dotsb + \phi_p \tilde z_{t - p} + a_t$
$M$ is known as an autoregressive (AR) process of order $p$.
Subcategories
This category has the following 2 subcategories, out of 2 total.
A
- ARIMA Models (3 P)
- ARMA Models (2 P)
Pages in category "Autoregressive Models"
The following 4 pages are in this category, out of 4 total.