Article first published online: 23 MAR 2011
Copyright © 2011 John Wiley & Sons, Inc.
Wiley Interdisciplinary Reviews: Computational Statistics
Volume 3, Issue 4, pages 316–331, July/August 2011
How to Cite
Brockwell, P. J. (2011), Autoregressive processes. WIREs Comp Stat, 3: 316–331. doi: 10.1002/wics.163
- Issue published online: 3 JUN 2011
- Article first published online: 23 MAR 2011
- time series;
- model selection;
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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