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Keywords:

  • autoregression;
  • time series;
  • estimation;
  • model selection;
  • forecasting

Abstract

In this article, the definition, properties, and applications of linear autoregressive processes (or autoregressions) are reviewed. These form an important subset of the class of autoregressive moving-average (ARMA) processes which are widely used as stationary models for time series data. Particular attention is paid to the problem of selecting and estimating appropriate autoregressions to describe empirically observed time series. WIREs Comp Stat 2011 3 316–331 DOI: 10.1002/wics.163

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