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Time Series Analysis - Autoregressive Model

 What is an Autoregressive Model? An autoregressive (AR) model predicts future behavior based on past behavior. It is used for forecasting when there is some correlation between values in a time series and the values that precede and succeed them. You only use past data to model the behavior, hence the name autoregressive (the Greek prefix auto means "self"). The process is basically a linear regression of the data in the current series against one or more past values in the same series. ...