Autoregressive Exogenous model on multiple datasets in MATLAB
It sounds like you need a model on top of your models, which sounds similar to a Hierarchical Bayesian Model:

https://en.wikipedia.org/wiki/Bayesian_hierarchical_modeling

I used this technique on a set of linear regressions, essentially following

http://seor.vse.gmu.edu/~klaskey/SYST664/Bayes_Unit7.pdf.

This is not AR modeling but perhaps might be a fruitful Google set of search words.

You might want to crosspost to Cross Validated

https://stats.stackexchange.com/