Decomposition of Time Series Dynamic Linear Models

DOI10.1111/1467-9892.00319MaRDI QIDQ4455665zbMATH OpenOpenAlexFDO

Authors E. J. Godolphin, S. E. Jonson

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00319

zbMATH Keywords

autoregressive integrated moving average (ARIMA) modelcyclic componentsindependent decompositionobservabilitystate space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bayesian inference on periodicities and component spectral structure in time series
• scientific article; zbMATH DE number 847277 (Why is no real title available?)

Cited in

(5)

• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling
• Miscellanea. Time series decomposition
• Convergence of Discount Time Series Dynamic Linear Models
• Bound and convergence of the non-constant dynamic linear model
• Decomposition of time series models in state-space form

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