Decomposition of Time Series Dynamic Linear Models

DOI10.1111/1467-9892.00319zbMATH Open1036.62074OpenAlexW2136122010MaRDI QIDQ4455665FDOQ4455665

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

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zbMATH Keywords

state space modelobservabilityindependent decompositionautoregressive integrated moving average (ARIMA) modelcyclic components

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Bayesian inference on periodicities and component spectral structure in time series

Cited In (4)

• 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
• Blind signal separation of mixtures of chaotic processes: a comparison between independent component analysis and state space modeling

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