Let's say I have the following model:
So I have an AR model of order 3, and I want to estimate A1, A2, and A3.
I understand how regression normally works for two variables x and y. Also, after doing some research, I think I've figured out to implement a regression for an AR(1) model. But I'm having problems extending this to AR(p). Can someone give an example of how this is done for my case? There dont seem to be any built in functions for MATLAB either. Or, am I not supposed to use regression for this type of problem? I'd appreciate any help.