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Published in:
2002 | OriginalPaper | Chapter
Pre-Treatment of Time Series and Assessment of Models
Author : Hans-Peter Deutsch
Published in: Derivatives and Internal Models
Publisher: Palgrave Macmillan UK
Included in: Professional Book Archive
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The pre-treatment for the transformation of a given data set into a stationary time series has been mentioned several times in the preceding sections and will receive detailed treatment in this section. The basis for pre-treating a time series is its decomposition into a trend component gt, a seasonal component st, and a random component Z t