4.3 Autoregressive models

In this book we will not discuss the type of linear time series models known as Autoregressive Models (e.g. AR, ARMA, ARiMA, ARfiMA) summarised on this Wikipedia page on timeseries. There are many extensions to these linear models, check the CRAN Task View on Time Series Analysis to learn more (e.g. about package zoo and forecast).

We will in fact be discussing a lot of methods in a book the Wiki page refers to for ‘Further references on nonlinear time series analysis’: Nonlinear Time Series Analysis by Kantz & Schreiber. You do not need to buy this book, to understand what follows, but it can be a helpful reference if you want to go beyond the formal level (= mathematics) used in the CSA-book Some of the packages we use are based on the accompanying software to the book TiSEAN which is written in C and Fortran and can be called from the command line (Windows / Linux).