Unobserved Components in Univariate Series
As mentioned in Gómez and Maravall (Seasonal adjustment and signal extraction in economic time series. In: Peña D, Tiao GC, Tsay RS (eds), A course in time series analysis, (chap 8). Wiley, New York, 2001), there exist at present two approaches to the problem of specifying a model in which several unobserved components that follow ARIMA models are present. The first one begins by specifying directly the models for the components and is called the structural time series approach. The other approach, called the ARIMA model based (AMB) method, starts by identifying a model for the observed series and derives from it the appropriate models for the components.
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