Several previous works have proposed game-theoretic approaches to controlling the pilot and data power levels in the uplink of both single and multi-cell multi-user multiple input multiple output (MU-MIMO) systems. Unfortunately, the vast majority of existing works design these power control schemes under the assumption that the wireless channels between the mobile terminals and the serving base station are block fading. Meanwhile, several letters have shown that modeling fast fading channels as autoregressive (AR) processes with known or estimated state transition matrices give much more accurate results than those suggested by block fading models. Thus, this letter proposes a game-theoretic approach to controlling the uplink pilot and data power levels in a MU-MIMO system, in which the wireless channels are AR processes with mobile terminal-specific state transition matrices. We find that the proposed approach outperforms a classical cellular path-loss compensating fractional power control scheme and a game-theoretic power control scheme designed for block fading channels.