Non-Admissible Decompositions in Unobserved Components Models
Gabriele Fiorentini, Christophe Planas · RePEc: Research Papers in Economics · 1996
This article deals with the problem of decomposing a time series into a sum of unobserved components as in seasonal adjustment or in trend-cycle decompositions. In particular, we analyze the case where model-based decompositions as performed by the so-called Structural Time Series models and by ARIMA-model-based cannot be drawn without yielding some components spectra with negative values.