Summary: The most common approach to assess the dynamical complexity of a time series across multiple temporal scales makes use of the MultiScale entropy (MSE) and Refined MSE (RMSE) measures. In spite of their popularity, MSE and RMSE lack an analytical framework allowing their calculation for known dynamic processes and cannot be reliably computed over short time series. To overcome these limitations, we propose a method to assess RMSE for AutoRegressive (AR) stochastic processes. The method makes use of linear State-Space (SS) models to provide the multiscale parametric representation of an AR process observed at different time scales and exploits the SS parameters to quantify analytically the complexity of the process. The resulting linear MSE (LMSE) measure is first tested in simulations, both theoretically to relate the multiscale complexity of AR processes to their dynamical properties and over short process realizations to assess its computational reliability in comparison with RMSE. Then, it is applied to the time series of heart period, arterial pressure, and respiration measured for healthy subjects monitored in resting conditions and during physiological stress. This application to short-term cardiovascular variability documents that LMSE can describe better than RMSE the activity of physiological mechanisms producing biological oscillations at different temporal scales.