Autoregressive Process

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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Assuming that output gap is autoregressive process, one period ahead forecast may be upward biased in recession and downward biased in boom.
The Unreliability of Output-Gap Estimates in Real Time
According to Makridakis and Hibon (2000) ARIMA is a combination of 3-parameter model, which consists of Autoregressive process (memory of past events), an integrated process (maintaining and preparing the data fixed and accessible to predict) and moving average (the older the data is the more perfect the prediction will be).
Karachi inter-bank offered rate (KIBOR) forecasting: box-jenkins (ARIMA) testing approach
An autoregressive process will only be stable if the parameters are within a certain range: for example, if there is only one autoregressive parameter then is must fall within the interval of 1less than xt less than 1.
Stochastic Modeling of Solar Flare Duration at Pakistan Atmospheric Region
To eliminate the autoregressive process of the level shift component, the first difference model only depends on the Bernoulli process: [DELTA] [y.
Application of a short memory model with random level shifts to the volatility of Latin American stock market returns
The co-integration between the prices p is conditioned by the nature of the autoregressive process Zt.
Transaction costs in beans market in Brazil/Custos de transacao no mercado de feijao no Brasil
We propose a more robust technique to estimate the effective sample size for the case of an autoregressive process of order 1 (AR1), a suitable hypothesis for many time series in meteorology and climate sciences.
Dependencies in statistical hypothesis tests for climate time series
Reference (8) presented modified control limits for maintaining control of a process, when the data were assumed to be dependent and following a second order autoregressive process (AR(2) model).
Measuring the effect if data dependence on quality control limits
t] is modeled by a stationary first-order autoregressive process.
Pricing standardized mortality securitizations: a two-population model with transitory jump effects
an autoregressive process where [rho] [less than or equal to] 1.
Real-time warning signs of emerging and collapsing Chinese house price bubbles
2]O emissions as the dependent variable and soil water content, soil temperature, autoregressive process, seasonality, and temporal lags of soil water content and soil temperature as potential exploratory variables.
Nitrous oxide emissions from subtropical horticultural soils: a time series analysis
The variable other information also satisfies a first-order autoregressive process (4).
Relationship between abnormal earnings persistence, industry structure, and market share in Brazilian public firms
2010b) regime-switching is used to estimate persistence, as a second order autoregressive process, and structural breaks for several inflation indexes using quarterly sample ranging from 1979 to 2010.
Falta de credibilidad, persistencia de la inflacion y desinflacion en Colombia

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