I have time series with daily data with, this series have 7 frequency. I used auto.arima in order to determine regressors. This function suggest me to use five regressor ar1,ar2,ar3,sar1 and sar2.You can see results below.
ARIMA(3,1,0)(2,1,0) Coefficients: ar1 ar2 ar3 sar1 sar2 -0.7606 -0.4866 -0.1719 -0.6797 -0.3253 s.e. 0.0295 0.0344 0.0296 0.0284 0.0285 sigma^2 estimated as 2415: log likelihood=-5929.68 AIC=11871.36 AICc=11871.44 BIC=11901.47
But actually my final goal is not to modeling with ARIMA. So I used arima only to find regressors and put them into some machine learning algorithm.
So my question is how to create or extract this five regressors ar1,ar2,ar3,sar1 and sar2 in separate time series?