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So I have seen specific derivations of covariance matrices for AR(2) and AR(1) processes. However, I have not seen one for a general AR(p) process.

Suppose I know the coefficients of a given AR(p) polynomial. How can I construct the covariance matrix for this process? Is there a general form one can plug and play from?

Lets assume that the series represented by these coefficients is zero mean.

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  • $\begingroup$ See this p.21 $\endgroup$
    – reuns
    Commented May 23, 2017 at 15:12
  • $\begingroup$ Perhaps better: see this. Note this downloads a PDF. $\endgroup$
    – StatsSorceress
    Commented Feb 27, 2019 at 3:22

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