auto-regressive process


auto-regressive process
auto-regressive ( AR) process
A stationary stochastic process where the current value of the time series is related to the past p values, where p is any integer, is called an AR( p) process. When the current value is related to the previous two values, it is an AR(2) process. An AR(1) process has an infinite memory. Bloomberg Financial Dictionary

Financial and business terms. 2012.

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