##### Autoregressive Models

- An
**autoregressive model** is a regression where that a value from a time series is regressed on previous values from that same time series.
- The
**order** of an autoregression is the number of immediately preceding values in the series that are used to predict the value at the present time.
- A
**first-order autoregression**[=autoregressive model] is represented as **AR(1)**.
- The value at time t is predicted from the value at time t-1
- e.g.)

- A
**second-order autoregression** is represented as **AR(2)**.
- The value at time t is predicted from the values at time t-1 and time t-2.
- e.g.)

##### References