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Autoregressive Process

   Also found in: Wikipedia 0.01 sec.
Autoregressive Process
Any process or model that uses past data to predict future data. Technical analysis, for example, is an autoregressive process. See also: Forecasting.


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7) Blanchard and Simon (2001) calculated skewness and excess kurtosis statistics for the error term from their estimated rolling first-order autoregressive process, finding significant skewness and excess kurtosis only around the early 1980s recession.
ARIMA approach combines two different parts into one equation; they are the Autoregressive process and Moving average process.
 
 
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