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💭 AR(p)

A multiple linear regression with p+1 parameters and p input data from previous p data. This is called Autoregressive(AR) model of order p.

In notation: AR(p)

Another form:

Eg: If we have 10 data and chooise p =3, we use

$y_1,y_2,y_3$ to predict $y_4$

$y_2,y_3,y_4$ to predict $y_5$

$y_3,y_4,y_5$ to predict $y_6$

and so on.

We often use Least-Square Method to find the parameters

How to simulate?