Business, Legal & Accounting Glossary
An n-dimensional autoregressive process of order p, AR(p), is a stochastic process of the form
where a is an n-dimensional vector, the are nn matrices, and W is n-dimensional white noise (see the notation conventions documentation). The name “autoregressive” indicates that  defines a regression of on its own past values. In applications, AR(1) and AR(2) processes are popular.
where W is variance 1 Gaussian white noise.
Univariate Autoregressive Process
A realization of the AR(2) process 
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This glossary post was last updated: 30th December, 2021 | 0 Views.