Miscellanea. Time series decomposition
Michael L. West · Biometrika · 1997
A constructive result on time series decomposition is presented and illustrated. Developed through dynamic linear models, the decomposition is useful in analysis of an observed time series through inference about underlying, latent component series that may have physical interpretations. Particular special cases include state space autoregressive component models, in which the decomposition is useful for isolating latent, quasi-cyclical components, in particular. Brief summaries of analyses of some geological records related to climatic change illustrate the result.