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AUTOREGRESSION

Statistics Directorate    
French Equivalent: Autorégression

Definition:
The generation of a series of observations whereby the value of each observation is partly dependent upon the values of those which have immediately preceded it, i.e. each observation stands in a regression relationship with one or more of the immediately preceding terms. A scheme of autoregression may be regarded as a stochastic process of a conditional kind.

Source Publication:
A Dictionary of Statistical Terms, 5th edition, prepared for the International Statistical Institute by F.H.C. Marriott. Published for the International Statistical Institute by Longman Scientific and Technical.

Statistical Theme: Methodological information (metadata)

Created on Tuesday, May 07, 2002

Last updated on Thursday, April 24, 2003