# 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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### Modelling auto-correlated binary time series

What are the usual approach to modelling binary time series? Is there a paper or a text book where this is treated? I think of a binary process with strong auto-correlation. Something like the sign of ...
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### Why are exponential smoothing models not considered auto-regressive?

I've seen so far two definitions of the term "auto-regressive" model when it comes to time series modeling: The first definition is just basic AR models and their relatives such as ARMA and ARIMA, ...
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### Unable to calculate the density function for AR

The model is an AR(p) process excited by a white Gaussian noise $\epsilon_t$, \begin{align} Y_t = &c+ \phi_1Y_{t-1} + \phi_2 Y_{t-2}+ \ldots+ \phi_p Y_{t-p} + \epsilon_t\\ \epsilon_t = &\...
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### Conceptual Question: Autocorrelation of autoregressive process

An AR(1) process: $X_t = c+\theta X_{t-1} + \epsilon_t$ where $\epsilon_t$ is a zero mean white Gaussian noise. The Autocorrelation matrix is expressed by the formula mentioned in the Wikipedia entry....
I run a simple AR(1) and AR(2) model with the following code: ar.ols(df$y, order.max = 1) ar.ols(df$y, order.max =2) My dataset is as follows: I do have yearly ...