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Results tagged with autoregressive
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user 189634
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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answer
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AR(2) Characteristic Equation Equivalence
In a recent question I was given the AR(2) process
$$
Y_t = \phi_1Y_{t-1} + \phi_2Y_{t-2} + \epsilon_t
$$
And I determined that the characteristic equation should be
$$
\phi(z)=1-\phi_1z-\phi_2z^2
$$ …
- 367