Auto-Regressive (AR) Process
A stationary stochastic process where the current value of the time series is related to the past p values, where p is any integer, is called an AR(p) process. When the current value is related to the previous two values, it is an AR(2) process. An AR(1) process has an infinite memory.
Nearby TermsAutoquote Autoregressive Auto-Regressive (AR) Process Autoregressive Conditional Heteroskedasticity (ARCH) Autorité des Marchés Financiers (AMF)
Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University