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  • Search: subject:"unobserved components ARIMA"
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signal extraction 1 structural time series 1 unobserved components ARIMA 1
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Book / Working Paper 1
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Fiorentini, Gabriele 1 Planas, Christophe 1
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Instituto Valenciano de Investigaciones Económicas (IVIE) 1
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- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS
Fiorentini, Gabriele; Planas, Christophe - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998
We deal with the problem of decomposing a time series into the sum of unobserved components as in detrending or seasonal adjustment. In particular, we analyze the situation in which the decomposition into orthogonal balanced components as performed by the ARIMA-Model-Based method is...
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