- Published 2006 in Computational Statistics & Data Analysis
DOI:10.1016/j.csda.2005.07.008

Consider the three-component time series model that decomposes observed data (Y ) into the sum of seasonal (S), trend (T ), and irregular (I) portions. Assuming that S and T are nonstationary and that I is stationary, it is demonstrated that widely-used Wiener-Kolmogorov signal extraction estimates of S and T can be obtained through an iteration scheme… CONTINUE READING

### Presentations referencing similar topics