Autoregressive

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Autoregressive

Using past data or variable of interest to predict future values of the same variable.

Autoregressive

Anything that uses past data to predict future data. Technical analysis, for example, is by its nature autoregressive. See also: Forecasting.
References in periodicals archive ?
Autoregressive Moving Average Model of order (p, q), denoted by ARMA (p, q)
He describes several nonlinear system identification methods, but focuses particularly on nonlinear autoregressive moving average model with exogenous inputs (NARMAX) methods.
The autoregressive moving average model with order p and q (ARMA(p, q)) is given as below:
which is an autoregressive moving average model with exogenous variables (an ARMAX model).
He uses econometric examples involving practical policy issues in order to discuss production function and regression methods; univariate time series analysis; bivariate time series analysis including stochastic diffusion and cointegration; utility theory and empirical implications; vector models for multivariate problems; simultaneous equation models; limited dependent variable models; dynamic optimization and empirical analysis of consumer behavior; single, double, and maximum entropy bootstrap and inference; generalized least squares, vector autoregressive moving average models, and estimating functions; and nonlinear models and projection pursuit regression.

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