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. 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 ...

Get Python Data Analysis - Second Edition now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.