Convolution of $(a_i)$ and $(b_i)$
$$ (a * b)n=\sum{i}^{n} a_i \cdot b_{k-i}
$$
DEEPLIZARD Interactive Demo - Convolution Operation
An AR(p) model is a 1-D CNN model
$$ \begin{aligned} Y_t&=\beta_0+\beta_1Y_{t-1}+\beta_2Y_{t-2}+...+\beta_pY_{t-p}+\varepsilon_t \\ &=\sum_{k=1}^{p}\beta_kY_{t-k} + \beta_0+\varepsilon_t \end{aligned} $$