Autoregressive Process

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Definition: Autoregressive Process


Autoregressive Process


Full Definition of Autoregressive Process


An n-dimensional autoregressive process of order p, AR(p), is a stochastic process of the form

[1]

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 [1] defines a regression of  on its own past values. In applications, AR(1) and AR(2) processes are popular.

Exhibit 1 indicates a realization of the univariate AR(2) process

[2]

where W is variance 1 Gaussian white noise.

Univariate Autoregressive Process
Exhibit 1

A realization of the AR(2) process [2]


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Definition Sources


Definitions for Autoregressive Process are sourced/syndicated and enhanced from:

  • A Dictionary of Economics (Oxford Quick Reference)
  • Oxford Dictionary Of Accounting
  • Oxford Dictionary Of Business & Management

This glossary post was last updated: 30th December, 2021 | 0 Views.