The autoregressive (AR) model of an order *p* can be written as
AR(*p*) and is defined as

(8) |

The name ``autoregressive''
comes from the fact that *X*_{t} is regressed
on the past values of itself.

**Example: AR(1) or Markov process**

The series will converge if .From the properties of the random process *Z*_{t},
we can obtain that