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Course Notes - The AR Model

The Autoregressive Model (AR Model) uses past values of a variable to estimate its current value, relying on the presence of autocorrelation in time series data. It assumes that patterns from the past will continue into the future, making it essential for accurate forecasting. The document also briefly mentions the implementation of the AR model in Python, specifically using the ARMA method.

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11 views2 pages

Course Notes - The AR Model

The Autoregressive Model (AR Model) uses past values of a variable to estimate its current value, relying on the presence of autocorrelation in time series data. It assumes that patterns from the past will continue into the future, making it essential for accurate forecasting. The document also briefly mentions the implementation of the AR model in Python, specifically using the ARMA method.

Uploaded by

rowed92414
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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The AR Model

Full Name: Description:


The Autoregressive Model
The name of the model comes from
autoregression. This means that the model uses
Mathematical Notation: values of the same variable (auto) to estimate
the current one (regression).

We rely on autoregressive models when there is


clear autocorrelation within the data. The term
(autocorrelation) suggests that the variable is
correlated with itself. More precisely, values
from consecutive periods are related.

Since time series assumes that patters found in


the past translate to the future, if
autocorrelation is present in the data, we need
to us some form of AR model to capture this
relationship if we wish to make good estimates.
The AR Model

Implementation of the Simple Model in Python:

The library the


ARMA method The method we
comes from are importing

The variable storing the The time series we


model characteristics The order of the model *(we use
wish to analyse (1,0), since AR(1) = ARMA (1,0))
that we will fit later
*For an AR(p) model, simply change the
order from (1,0) to (p,0).

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