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Time Series Analysis with Python

Autoregression

Explore autoregression, a key time series forecasting method that models a variable based on its past values. Understand how AR models work, how to select lag parameters, and implement AR forecasts using Python's ARIMA function to analyze and predict future data.

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Understanding autoregression

Autoregression, as the name suggests, is a regression of a value over itself at some other moment. It means we look at the model like this:

xt=α+β1xt−1+...+βnxt−n+ϵx_t=\alpha+\beta_1x_{t-1}+...+\beta_n x_{t-n}+\epsilon ...