Perform Autoregressive Filtering 

Filter data using an autoregressive Kalman filter.

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X SeedRandom[99]; data = RandomFunction[ARMAProcess[{.1}, {.6}, 1], {1, 50}];

Fit an autoregressive model to the data using EstimatedProcess.

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X ar = EstimatedProcess[data, ARProcess[3]]

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Filter the data according to the estimated process using KalmanFilter.

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X arFilter = KalmanFilter[ar, data]

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Compare the data and the filter.

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X ListLinePlot[{data, arFilter}, Filling -> {1 -> {2}}, FillingStyle -> Yellow, PlotLegends -> {"Data", "Filter"}, ImageSize -> 400]

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