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    The m-delay Autoregressive Model with Application

    Manlika Ratchagit1, Benchawan Wiwatanapataphee1, Nikolai Dokuchaev1, *

    CMES-Computer Modeling in Engineering & Sciences, Vol.122, No.2, pp. 487-504, 2020, DOI:10.32604/cmes.2020.08865

    Abstract The classical autoregressive (AR) model has been widely applied to predict future data using m past observations over five decades. As the classical AR model required m unknown parameters, this paper implements the AR model by reducing m parameters to two parameters to obtain a new model with an optimal delay called as the m-delay AR model. We derive the m-delay AR formula for approximating two unknown parameters based on the least squares method and develop an algorithm to determine optimal delay based on a brute-force technique. The performance of the m-delay AR model was tested by comparing with the… More >

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