Some consideration of decomposition of a time series
George C. Tiao, Steven C. Hillmer · Biometrika · 1978
Suppose that an observable Gaussian time series Z1 can be written as the sum of an unobservable signal component Tt and a white noise component et. This paper proposes a procedure to estimate the Tt component uniquely by maximizing the variance of et with respect to a known model for Zt. Properties of this procedure are discussed and a comparison is made with a number of smoothing and filtering procedures commonly used in practice.