O'Reilly logo

Python Data Analysis by Ivan Idris

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Autoregressive models

An autoregressive model can be used to represent a time series with the goal of forecasting future values. In such a model, a variable is assumed to depend on its previous values. The relation is also assumed to be linear and we are required to fit the data in order to find the parameters of the data.

Note

The mathematical formula for the autoregressive model is as follows:

Autoregressive models

In the preceding formula, c is a constant and the last term is a random component also known as white noise.

This presents us with the very common problem of linear regression. For practical reasons, it's important to keep the model simple and only involve necessary ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required