Chapter 3 From time series components to ETS
Before we turn to state space framework, ETS, ARIMA and other models we need to discuss time series decomposition and the ETS taxonomy. These topics lie at the heart of ETS models and are essential for the understanding of the further material.
In this chapter we start with a discussion of time series components, then move to the idea of decomposing time series into distinct components and then to the conventional ETS taxonomy, as formulated by Hyndman et al. (2008), demonstrating its connection with the previous topics.