For the general case AR(p), we can multiply the equation by Xt-k and take the expectation value:
where is the autocovariance function at lag k.
Since from (7), we have
Replace by the estimates
and therefore the estimates of AR coefficients can be solved.
Multiply (8) by Xt,
and then take the expectation value, we have
and therefore can be obtained by replacing and with the estimates of and .
Maximum Entropy Method (MEM, or Burg algorithm) is an alternative way to estimate AR coefficients.