# Questions tagged [autoregressive]

The autoregressive (AR) model is a stochastic process modelling time series, which specifies the value of the series linearly in terms of the previous values.

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### Breusch-Pagan Test for ARIMA Model in R [closed]

I am testing my model using the Breusch-Pagan Test, but have not been able to find anything online regarding how to calculate it for an ARIMA Model. My AR1 Model is: ...
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### how to fit ar(1) model with predetermined value of autocorrelation parameter in R? [migrated]

I have the following data: ar <- arima.sim(list(order=c(1,0,0), ar=0.9), n=M1) + 10 How to fit an AR(1) model to simulated data above with ar parameter=0.5? ...
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### Time series prediction for a chaotic multivariate data

I am trying to forecast a chaotic multivariate time series, and any architecture I use ( LSTM, MLP or tried to implement Autoregression architectures from few papers like https://arxiv.org/pdf/1704....
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### Ljung Box test for residuals of constrained ARIMAX(2,1,0) model

I have this ARIMA(2,1,0) model with one exogenous variable: $$\Delta y_t=c+\phi_2 \Delta y_{t-2}+\beta_x x_t+\varepsilon_t$$ I want to run Ljung Box test of residual autocorrelation with test ...
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### Why the lag number of an AR model doesn't indicate the number of lags in a plotted ACF?

In the below image, there are AR models with differing lags. As far as I know, each autocorrelation function plot has an x-axis that is "number of lags". Can someone help me understand how ...
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### Handling overflow warnings in pymc

Abstract I am getting numerical overflow warnings in pymc that are stalling the sampler. I'll first specify what the context is then ask more directed questions about the solution. The context ...
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### How does autoregression work in R?

I don't understand results of ar() function in R. I made up a very simple case, Fibonacci sequence: ...
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### ar() in R and Matlab give different results for same dataset

I have a Matlab script that performs some autoregressions and am trying to replicate it in R, but can't get them to match. So as a MWE, I'm trying to get the same results in R as are obtained by this ...
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### How to learn 'end of sequence' for continuous sequence?

Consider Autoregressive model (i.e. RNN Language model) which try to output next token given all previous tokens. When generating sequence with this model, model need to learn when should be end of ...
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### ARIMA Model Non-Stationary Time Series

Suppose that the data generated process is the following: Y(t) = 1.2*Y(t-1) + 0.2 The process is clearly non-stationary. My question is why we can't fit an AR(1) model and make predictions?
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### AR(p) by iterated vs. lag method. Different results

Reading "Applied Econometrics Time Series" By Walter Enders I am trying to derive the stationary AR(p) model as he does on page 58, fourth edition. This is the AR(P) model y_t=a_0+\...