Machine Learning Quick Reference

Autoregression

An autoregression is a time series model that typically uses the previous values of the same series as an explanatory factor for the regression in order to predict the next value. Let's say that we have measured and kept track of a metric over time, called y_t, which is measured at time t when this value is regressed on previous values from that same time series. For example, y_t on ${\mathrm{yt-1}}^{}$:

As shown in the preceding equation, the previous value y_t-1 has become the predictor here and y_t is the response value that is to be predicted. Also, ε_t is normally distributed with a mean of zero and variance of 1. The order of the autoregression ...