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I have estimated AR coefficients of a time series using "aryule" function in MATLAB. Now I want to obtain the error of the estimated model. I think at first I must reconstruct it. so How can I reconstruct a Time series using it AR coefficients in MATLAB?

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    $\begingroup$ What do you mean by the "error of the estimated model" ? Do you know the true coefficients that were used to generate the original time series? $\endgroup$ – Peter K. Jan 8 '16 at 19:38
  • $\begingroup$ Use Least square method (LS) Hope that help $\endgroup$ – Nasr Nov 24 '17 at 14:29
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If you drive your AR model with white noise, you can generate a time series that has the same power spectral density as the original time series. But it won't be the same time series.

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