Machine Learning With Go

Auto-regressive model overview

You will often see AR models referred to as AR(1), AR(2), and so on. These numbers correspond to the order of the AR model or process you are using to model the time series, and it is this order that you can determine by performing autocorrelation and partial autocorrelation analysis.

An AR(1) model attempts to model an observation in your series based on the observation in the same series at a one time period delay:

An AR(2) model would look as follows:

An AR(3) model would add another term and so on, all following ...