Time series analysis and its application
Ding Yi · 2008
This paper studies the smoothness of time series with trends, seasonality and stationary term. The equality of constraint smoothing estimate, priors-Bayes smoothing estimate and some type of Kalman smoothing estimate is proved theoretically. And the state space expression described by prior-Bayes is obtained for the smoothness of time series. It’s the theoretical base for using Kalman filter algorithm and estimating order and parameters of constraint smoothing.