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Some Consideration of Decomposition of a Time Series

G. C. Tiao and S. C. Hillmer
Biometrika
Vol. 65, No. 3 (Dec., 1978), pp. 497-502
Published by: Oxford University Press on behalf of Biometrika Trust
DOI: 10.2307/2335900
Stable URL: http://www.jstor.org/stable/2335900
Page Count: 6
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Some Consideration of Decomposition of a Time Series
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Abstract

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.

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