- An autoregressive model is a regression where that a value from a time series is regressed on previous values from that same time series.
- The order of an autoregression is the number of immediately preceding values in the series that are used to predict the value at the present time.
- A first-order autoregression[=autoregressive model] is represented as AR(1).
- The value at time t is predicted from the value at time t-1
- A second-order autoregression is represented as AR(2).
- The value at time t is predicted from the values at time t-1 and time t-2.