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AUTOREGRESSIVE TRANSFORMATION

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French Equivalent: Transformation autorégressive

Definition:
If there is autocorrelation in the error term of an autoregressive process it is sometimes possible to transform the original variates to new variates such that the autoregressive scheme in the transformed variates has an uncorrelated error term. This process is known as an autoregressive transformation.

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