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AR models are called long memory models because one can recursively look back over time and still see effects from lags. The effect of earlier observations can be traced backward recursively through lagged dependence.

Conditions: Applies to autoregressive time-series models; Assumes recursive substitution backward in time

AR models are called long memory models because one can recursively look back over time and still see effects from lags. The effect of earlier observations can be traced backward recursively through lagged dependence.

Conditions: Applies to autoregressive time-series models; Assumes recursive substitution backward in time