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Some Consideration of Decomposition of a Time Series
G. C. Tiao and S. C. Hillmer
Vol. 65, No. 3 (Dec., 1978), pp. 497-502
Stable URL: http://www.jstor.org/stable/2335900
Page Count: 6
You can always find the topics here!Topics: Time series, Polynomials, Data smoothing, Statistical variance, Covariance, Generating function, White noise, Time series models, Autocorrelation
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Suppose that an observable Gaussian time series Zt can be written as the sum of an unobservable signal component Tt and a white noise component et. This paper proposes a procedure to estimate the Tt component uniquely by maximizing the variance of et with respect to a known model for Zt. Properties of this procedure are discussed and a comparison is made with a number of smoothing and filtering procedures commonly used in practice.
Biometrika © 1978 Biometrika Trust