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Chapter 4 From time series components to ETS

A very important topic that we need to discuss before we move to the state space models, ETS, ARIMA and other things, is the time series decomposition and the related to it ETS taxonomy. These topics lie in the core of ETS models and are essential for the understanding of the further material.

In this chapter, we start from the discussion of time series components, then move to the idea of decomposing time series in order to see them and then move to the conventional ETS taxonomy, as formulated by Hyndman et al. (2008), demonstrating its connection with the previous topics.

References

Hyndman, Rob J., Anne B. Koehler, J. Keith Ord, and Ralph D. Snyder. 2008. Forecasting with Exponential Smoothing. Springer Berlin Heidelberg.