Autoregression

Learn how to use autoregression to forecast with time series data.

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+β1xt1+...+βnxtn+ϵx_t=\alpha+\beta_1x_{t-1}+...+\beta_n x_{t-n}+\epsilon ...