In the present paper, the theoretical basis of autoregressive (AR) modelling in spectral analysis is explained in simple terms. Spectral analysis gives information about the frequency content and sources of variation in a time series. The AR method is an alternative to discrete Fourier transform, and the method of choice for high-resolution spectral estimation of a short time series. In biomedical engineering, AR modelling is used especially in the spectral analysis of heart rate variability and electroencephalogram tracings. In AR modelling, each value of a time series is regressed on its past values. The number of past values used is called the model order. An AR model or process may be used in either process synthesis or process analysis, each of which can be regarded as a filter. The AR analysis filter divides the time series into two additive components, the predictable time series and the prediction error sequence. When the prediction error sequence has been separated from the modelled time series, the AR model can be inverted, and the prediction error sequence can be regarded as an input and the measured time series as an output to the AR synthesis filter. When a time series passes through a filter, its amplitudes of frequencies are rescaled. The properties of the AR synthesis filter are used to determine the amplitude and frequency of the different components of a time series. Heart rate variability data are here used to illustrate the method of AR spectral analysis. Some basic definitions of discrete-time signals, necessary for understanding of the content of the paper, are also presented.