Auto-Regressive (AR) Process
Browse Terms By Number or Letter:
Financial Terms By:
A
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.