Time Series Decomposition: An Additional Methodology

Hongying Sun

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SSRN Electronic Journal

Article . 2014 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Time Series Decomposition: An Additional Methodology

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2014 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Hongying Sun;

doi: 10.2139/ssrn.2400837

Time Series Decomposition: An Additional Methodology

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Abstract

Our aim in this article is to introduce an additional approach that extends the conventional model identification method to decompose time series into the stationary and random walk components. It has been shown that the additional approach of decomposition has reliable small sample properties, especially for high-frequency data.

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